Lectures on Stochastic Flows and Applications: Lectures Delivered at the Indian Institute of Science, Bangalore Und the T.I.F.R. - I.I.Sc. Programme in Applications of Mathematics - Softcover

Kunita, H

Softcover

ISBN 10: 3540177752 ISBN 13: 9783540177753

Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. K, 1986

Synopsis

These are the notes of a lecture course given by the author at the T.I.F.R. Centre, Bangalore in late 1985. The contents are divided into three chapters concluding with an extensive bibliography. Chapters 1 and 2 deal with basic properties of stochastic flows and especially of Brownian flows and their relations with local characteristics and stochastic differential equations. An appendix on the generalized Ito# DEGREES formula, Stratonovich integral and Stratonovich stochastic differential equations has been added to Chapter 2. By the way of applications of the foregoing, limit theorems for stochastic flows, along with a unifying general limit theorem, are then presented in Chapter 3 including: - Approximation theorems for stochastic differential equations and stochastic flows, due to Bismut, Ikeda-Watanabe, Malliavin, Dowell etc. - Limit theorems for driving processes, due to Papanicolaou-Stroock-Varadhan, and - Limit theorems for stochastic differential equations, due to Khasminkii, Papanicolaou-Kohler, Kesten-Papanicola

Edition details

• Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. K
• Publication date: 1986
• Language: English
• ISBN 10: 3540177752
• ISBN 13: 9783540177753
• Binding: Paperback
• Number of pages: 5
• Editor: Ghosh M K