ENGLISH

Multidimensional Diffusion Processes

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

Book information

Publisher
Springer
Year
2006
ISBN
9783540289982, 3540289984
Open Library ID
OL9055947M
Language
english
Format
PDF
Filesize
13 MB (13498929 bytes)
Series
Grundlehren der mathematischen Wissenschaften 233
Pages
350\350
Time added
2010-02-18 13:16:04

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

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