Lectures on Stochastic Analysis: Diffusion Theory (Paperback) (ISBN-13: 9780521336451)

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.

Author: Daniel W. Stroock
ISBN-10: 0521336457
ISBN-13: 9780521336451
Publisher: Cambridge University Press
Language: English
Published: 02/19/1987
Pages: 140
Format: Paperback
Weight: 0.47lbs
Size: 9.00h x 6.00w x 0.33d