Lectures on Stochastic Analysis

Lectures on Stochastic Analysis

Diffusion Theory

eBook - 1987
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Cambridge Univ Pr
This book is based on a course given at Massachusetts Institute of Technology.
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.

Publisher: Cambridge [Cambridgeshire] ; New York : Cambridge University Press, 1987
ISBN: 9781107361348
1107361346
0521333660
9780521333665
0521336457
9780521336451
Characteristics: 1 online resource (ix, 128 pages)

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