Lectures on Stochastic Analysis: Diffusi

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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 th…

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    Om Lectures on Stochastic Analysis: Diffusi

    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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    Detaljer

    Format
    E-Bok
    Filformat
    PDF
    Utgivelsesår
    1987
    Forlag
    Cambridge University Press
    Språk
    Engelsk
    ISBN
    9781316086841

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