Lectures on Stochastic Analysis: Diffusion Theory by Daniel W Stroock
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Lectures on Stochastic Analysis: Diffusion Theory

Lectures on Stochastic Analysis: Diffusion Theory


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International Edition


About the Book

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.


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Product Details
  • ISBN-13: 9780521336451
  • Publisher: Cambridge University Press
  • Publisher Imprint: Cambridge University Press
  • Height: 229 mm
  • No of Pages: 140
  • Series Title: London Mathematical Society Student Texts
  • Weight: 267 gr
  • ISBN-10: 0521336457
  • Publisher Date: 19 Feb 1987
  • Binding: Paperback
  • Language: English
  • Returnable: N
  • Spine Width: 8 mm
  • Width: 152 mm


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Lectures on Stochastic Analysis: Diffusion Theory
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Lectures on Stochastic Analysis: Diffusion Theory
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