Multidimensional Diffusion Processes

Authors:

ISBN: 978-3-662-22201-0 (Print) 978-3-540-28999-9 (Online)

Table of contents (13 chapters)

  1. Front Matter

    Pages N1-XII

  2. No Access

    Chapter

    Pages 1-6

    Introduction

  3. No Access

    Chapter

    Pages 7-45

    Preliminary Material: Extension Theorems, Martingales, and Compactness

  4. No Access

    Chapter

    Pages 46-64

    Markov Processes, Regularity of Their Sample Paths, and the Wiener Measure

  5. No Access

    Chapter

    Pages 65-81

    Parabolic Partial Differential Equations

  6. No Access

    Chapter

    Pages 82-121

    The Stochastic Calculus of Diffusion Theory

  7. No Access

    Chapter

    Pages 122-135

    Stochastic Differential Equations

  8. No Access

    Chapter

    Pages 136-170

    The Martingale Formulation

  9. No Access

    Chapter

    Pages 171-194

    Uniqueness

  10. No Access

    Chapter

    Pages 195-207

    Itô’s Uniqueness and Uniqueness to the Martingale Problem

  11. No Access

    Chapter

    Pages 208-247

    Some Estimates on the Transition Probability Functions

  12. No Access

    Chapter

    Pages 248-260

    Explosion

  13. No Access

    Chapter

    Pages 261-284

    Limit Theorems

  14. No Access

    Chapter

    Pages 285-303

    The Non-unique Case

  15. Back Matter

    Pages 304-338