Lectures on Stochastic Analysis: Diffusion Theory

by Daniel W. Stroock

Overview

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.

Product Details

ISBN-13:	9780521336451
Publisher:	Cambridge University Press
Publication date:	02/19/1987
Series:	London Mathematical Society Student Texts , #6
Pages:	140
Product dimensions:	5.98(w) x 9.02(h) x 0.31(d)

Table of Contents

1. Stochastic processes and measures on function space; 2. Diffusions and martingales; 3. The martingale problem formulation of diffusion theory.