Multidimensional Diffusion Processes (Grundlehren der mathematischen Wissenschaften. A Series of Comprehensive Studies in Mathematics Bd. 233)

von Daniel W. Stroock Kategorie: Stochastische Prozesse ISBN: 3540903534 Kommentar abgeben

Kurzbeschreibung "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 is summarized at the beginning of the book. This monograph can be recommended to graduate students and research workers but also to all those who are interested in Markov processes from a more theoreti- cal point of view." Mathematische Operationsforschung und Statistik

Synopsis A presentation of the application of martingale theory of Markov processes, especially multi-dimensional diffusions. The work assumes familiarity with standard probability theory and measure theory, which is summarized at the beginning of the book.