Buch, Englisch, 338 Seiten, Format (B × H): 155 mm x 235 mm, Gewicht: 1490 g
Reihe: Classics in Mathematics
Buch, Englisch, 338 Seiten, Format (B × H): 155 mm x 235 mm, Gewicht: 1490 g
Reihe: Classics in Mathematics
ISBN: 978-3-540-28998-2
Verlag: Springer
From the reviews: "This book is an excellent presentation of the application of martingale theory to the theory of Markov processes, especially multidimensional diffusions. [.] 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
Zielgruppe
Research
Autoren/Hrsg.
Fachgebiete
- Mathematik | Informatik Mathematik Stochastik Mathematische Statistik
- Mathematik | Informatik Mathematik Stochastik Elementare Stochastik
- Naturwissenschaften Physik Physik Allgemein Theoretische Physik, Mathematische Physik, Computerphysik
- Mathematik | Informatik Mathematik Stochastik Stochastische Prozesse
- Mathematik | Informatik Mathematik Stochastik Wahrscheinlichkeitsrechnung
Weitere Infos & Material
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.- Ito’s Uniqueness and Uniqueness to the Martingale Problem.- Some Estimates on the Transition Probability Functions.- Explosion.- Limit Theorems.- The Non-Unique Case
