Multidimensional Diffusion Processes

  • Daniel W. Stroock
  • S. R. Srinivasa Varadhan
Part of the Classics in Mathematics / Grundlehren der mathematischen Wissenschaften book series (CLASSICS)

Table of contents

  1. Front Matter
    Pages N1-XII
  2. Daniel W. Stroock, S. R. Srinivasa Varadhan
    Pages 1-6
  3. Daniel W. Stroock, S. R. Srinivasa Varadhan
    Pages 7-45
  4. Daniel W. Stroock, S. R. Srinivasa Varadhan
    Pages 46-64
  5. Daniel W. Stroock, S. R. Srinivasa Varadhan
    Pages 65-81
  6. Daniel W. Stroock, S. R. Srinivasa Varadhan
    Pages 82-121
  7. Daniel W. Stroock, S. R. Srinivasa Varadhan
    Pages 122-135
  8. Daniel W. Stroock, S. R. Srinivasa Varadhan
    Pages 136-170
  9. Daniel W. Stroock, S. R. Srinivasa Varadhan
    Pages 171-194
  10. Daniel W. Stroock, S. R. Srinivasa Varadhan
    Pages 195-207
  11. Daniel W. Stroock, S. R. Srinivasa Varadhan
    Pages 208-247
  12. Daniel W. Stroock, S. R. Srinivasa Varadhan
    Pages 248-260
  13. Daniel W. Stroock, S. R. Srinivasa Varadhan
    Pages 261-284
  14. Daniel W. Stroock, S. R. Srinivasa Varadhan
    Pages 285-303
  15. Back Matter
    Pages 304-338

About this book

Introduction

From the reviews:

"… Both the Markov-process approach and the Itô approach … have been immensely successful in diffusion theory. The Stroock-Varadhan book, developed from the historic 1969 papers by its authors, presents the martingale-problem approach as a more powerful - and, in certain regards, more intrinsic-means of studying the foundations of the subject. […] … the authors make the uncompromising decision not "to proselytise by intimidating the reader with myriad examples demonstrating the full scope of the techniques", but rather to persuade the reader "with a careful treatment of just one problem to which they apply". […] Most of the main tools of stochastic-processes theory are used, ..but it is the formidable combination of probability theory with analysis … which is the core of the work. […] I have emphasized the great importance of the Stroock-Varadhan book. It contains a lot more than I have indicated; in particular, its many exercises conain much interesting material.
For immediate confirmation of the subject’s sparkle, virtuosity, and depth, see … McKean (‘s 1969 book). The Stroock-Varadhan book proceeds on its inexorable way like a massive Bach fugue. … But old J.S. can e something of knockout if his themes get hold of you. And his influence on what followed was 8you may say) substantial."
David Williams in the Bulletin of the American Mathematical Society

Keywords

Diffision processes MSC (2000): 60J60, 28A65 Markov processes YellowSale2006 differential equation diffusion diffusion process Excel Markov process Martingal Martingale measure measure theory partial differential equation probability probability theory statistics stochastic calculus stochastic differential equation

Authors and affiliations

  • Daniel W. Stroock
    • 1
  • S. R. Srinivasa Varadhan
    • 2
  1. 1.Department of MathematicsMassachusetts Institute of TechnologyCambridgeUSA
  2. 2.Courant Institute of Mathematical SciencesNew York UniversityNew YorkUSA

Bibliographic information

  • DOI https://doi.org/10.1007/3-540-28999-2
  • Copyright Information Springer-Verlag Berlin Heidelberg 2006
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Springer Book Archive
  • Print ISBN 978-3-662-22201-0
  • Online ISBN 978-3-540-28999-9
  • Series Print ISSN 1431-0821
  • About this book