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Multidimensional Diffusion Processes

Daniel W. Strook and S. R. S. Varadhan
Publisher: 
Springer Verlag
Publication Date: 
2006
Number of Pages: 
338
Format: 
Paperback
Series: 
Classics in Mathematics
Price: 
49.95
ISBN: 
3-540-28998-4
Category: 
Monograph
We do not plan to review this book.

 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.- Ito’s Uniqueness and Uniqueness to the Martingale Problem.- Some Estimates on the Transition Probability Functions.- Explosion.- Limit Theorems.- The Non-Unique Case

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