Lectures on Stochastic Analysis: Diffusion Theory - Brossura

Stroock, Daniel W.

Brossura

ISBN 10: 0521336457 ISBN 13: 9780521336451

Casa editrice: Cambridge University Press, 2009

Riassunto

This book is based on a course given at Massachusetts Institute of Technology. It is intended to be a reasonably self-contained introduction to stochastic analytic techniques that can be used in the study of certain problems. The central theme is the theory of diffusions. In order to emphasize the intuitive aspects of probabilistic techniques, diffusion theory is presented as a natural generalization of the flow generated by a vector field. Essential to the development of this idea is the introduction of martingales and the formulation of diffusion theory in terms of martingales. The book will make valuable reading for advanced students in probability theory and analysis and will be welcomed as a concise account of the subject by research workers in these fields.

Su questo libro

Descrizione del libro

This book is based on a course given at Massachusetts Institute of Technology. It is intended to be a reasonably self-contained introduction to stochastic analytic techniques that can be used in the study of certain problems. The central theme is the theory of diffusions.

Contenuti

1. Stochastic processes and measures on function space; 2. Diffusions and martingales; 3. The martingale problem formulation of diffusion theory.

Dettagli dell?edizione

• Editore: Cambridge University Press
• Data di pubblicazione: 2009
• ISBN 10: 0521336457
• ISBN 13: 9780521336451
• Rilegatura: Copertina flessibile
• Lingua: Inglese
• Numero edizione: 1
• Numero di pagine: 140