# Multidimensional Diffusion Processes

Part of the Classics in Mathematics / Grundlehren der mathematischen Wissenschaften book series (CLASSICS)

Book

Part of the Classics in Mathematics / Grundlehren der mathematischen Wissenschaften book series (CLASSICS)

*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*

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

- 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