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Cover: 9783662222010 | Multidimensional Diffusion Processes | S. R. S. Varadhan (u. a.) | XII
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Multidimensional Diffusion Processes
Taschenbuch von S. R. S. Varadhan (u. a.)
Sprache: Englisch

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Beschreibung
"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
"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
Zusammenfassung

Review: "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

Inhaltsverzeichnis
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.- Itô's Uniqueness and Uniqueness to the Martingale Problem.- Some Estimates on the Transition Probability Functions.- Explosion.- Limit Theorems.- The Non-unique Case.
Details
Erscheinungsjahr: 2014
Fachbereich: Wahrscheinlichkeitstheorie
Genre: Mathematik
Rubrik: Naturwissenschaften & Technik
Medium: Taschenbuch
Seiten: 356
Reihe: Classics in Mathematics
Inhalt: xii
338 S.
ISBN-13: 9783662222010
ISBN-10: 3662222019
Sprache: Englisch
Ausstattung / Beilage: Paperback
Einband: Kartoniert / Broschiert
Autor: Varadhan, S. R. S.
Stroock, Daniel W.
Auflage: 2006
Hersteller: Springer Berlin
Springer Berlin Heidelberg
Classics in Mathematics
Maße: 235 x 155 x 20 mm
Von/Mit: S. R. S. Varadhan (u. a.)
Erscheinungsdatum: 23.08.2014
Gewicht: 0,54 kg
preigu-id: 105088329
Zusammenfassung

Review: "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

Inhaltsverzeichnis
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.- Itô's Uniqueness and Uniqueness to the Martingale Problem.- Some Estimates on the Transition Probability Functions.- Explosion.- Limit Theorems.- The Non-unique Case.
Details
Erscheinungsjahr: 2014
Fachbereich: Wahrscheinlichkeitstheorie
Genre: Mathematik
Rubrik: Naturwissenschaften & Technik
Medium: Taschenbuch
Seiten: 356
Reihe: Classics in Mathematics
Inhalt: xii
338 S.
ISBN-13: 9783662222010
ISBN-10: 3662222019
Sprache: Englisch
Ausstattung / Beilage: Paperback
Einband: Kartoniert / Broschiert
Autor: Varadhan, S. R. S.
Stroock, Daniel W.
Auflage: 2006
Hersteller: Springer Berlin
Springer Berlin Heidelberg
Classics in Mathematics
Maße: 235 x 155 x 20 mm
Von/Mit: S. R. S. Varadhan (u. a.)
Erscheinungsdatum: 23.08.2014
Gewicht: 0,54 kg
preigu-id: 105088329
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