Lectures on Stochastic Analysis: Diffusion Theory (London Mathematical Society Student Texts)

Daniel W. Stroock

ISBN 10: 0521336457 / ISBN 13: 9780521336451

Published by Cambridge University Press, 1987

About this Item

Type: Book Small plain label inside cover.Letter J stamped on title page. Seller Inventory # 053136

Bibliographic Details

Title: Lectures on Stochastic Analysis: Diffusion ...

Publisher: Cambridge University Press

Publication Date: 1987

Binding: Paperback

Condition: Good

Dust Jacket Condition: No d/j as Published

Edition: First Edition.

About this title

Synopsis:

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 emphasise the intuitive aspects of probabilistic techniques, diffusion theory is presented as a natural generalisation 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.

Book 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.