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.
Not yet reviewed
Be the first to review
Review was not posted due to profanity×
- Date Published: February 1987
- format: Paperback
- isbn: 9780521336451
- length: 140 pages
- dimensions: 229 x 152 x 8 mm
- weight: 0.22kg
- availability: Available
Table of Contents
1. Stochastic processes and measures on function space
2. Diffusions and martingales
3. The martingale problem formulation of diffusion theory.
Sorry, this resource is locked
Please register or sign in to request access. If you are having problems accessing these resources please email firstname.lastname@example.orgRegister Sign in
You are now leaving the Cambridge University Press website. Your eBook purchase and download will be completed by our partner www.ebooks.com. Please see the permission section of the www.ebooks.com catalogue page for details of the print & copy limits on our eBooks.Continue ×
Are you sure you want to delete your account?
This cannot be undone.
Thank you for your feedback which will help us improve our service.
If you requested a response, we will make sure to get back to you shortly.×