Lectures on stochastic analysis
diffusion theory
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Author
Publication
1987 - Cambridge University Press, Cambridge [Cambridgeshire], England
Language
English
Word Count
32,000 words, Guess
Page Count
128 pages
Identifiers
- Open LibraryOL2726946M
- ISBN-100521333660
- OCLC Control Number14097825
- OCLC Control Numberlecturesonstocha00stro
- Library of Congress Control Number86020782
and 2 more
- Goodreads3802435
- LibraryThing1450066
Classifications
- DDC519.2/33
- LCCQA274.75 .S85 1987
Description
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.
Subjects
Series Statement
- London Mathematical Society student texts ;
Other Editions
- Lectures on stochastic analysis: diffusion theory
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