Lectures on Stochastic Analysis: Diffusion Theory
eBook Features
-
Read Anywhere
Read your book anywhere, on any device, through RedShelf's cloud based eReader.
-
Digital Notes and Study Tools
Built-in study tools include highlights, study guides, annotations, definitions, flashcards, and collaboration.
-
Offline Access
(
100% )
The publisher of this book allows a portion of the content to be used offline.
-
Printing
(
5%
)
The publisher of this book allows a portion of the content to be printed.
Additional Book Details
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.
Sold By | Cambridge University Press |
---|---|
ISBNs | 9780511872372, 9780521336451, 9780521336451, 0511872372 |
Language | eng |