Multidimensional Diffusion Processes (Classics in Mathematics)

Stroock, Daniel W./ Varadhan, S.R.S.

Springer-Verlag Berlin and Heidelberg GmbH & Co. K（2014/08発売）

• 製本 Paperback:紙装版/ペーパーバック版／ページ数 338 p.
• 言語 ENG
• 商品コード 9783662222010
• DDC分類 519.2

Full Description

"This book is an excellent presentation of the application of martingale theory to the theory of Markov processes, especially multidimensional diffusions. This approach was initiated by Stroock and Varadhan in their famous papers. (...) The proofs and techniques are presented in such a way that an adaptation in other contexts can be easily done. (...) The reader must be familiar with standard probability theory and measure theory which are summarized at the beginning of the book. This monograph can be recommended to graduate students and research workers but also to all interested in Markov processes from a more theoretical point of view." Mathematische Operationsforschung und Statistik, 1981

Contents

Preliminary Material: Extension Theorems, Martingales, and Compactness.- Markov Processes, Regularity of Their Sample Paths, and the Wiener Measure.- Parabolic Partial Differential Equations.- The Stochastic Calculus of Diffusion Theory.- Stochastic Differential Equations.- The Martingale Formulation.- Uniqueness.- Itô's Uniqueness and Uniqueness to the Martingale Problem.- Some Estimates on the Transition Probability Functions.- Explosion.- Limit Theorems.- The Non-unique Case.