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Diffusion Processes and their Sample Paths

Reprint of the 1974 Edition

  • Kiyosi Itô
  • Henry P. McKeanJr.

Part of the Classics in Mathematics book series (CLASSICS)

Table of contents

  1. Front Matter
    Pages I-XV
  2. Kiyosi Itô, Henry P. McKean Jr.
    Pages 1-4
  3. Kiyosi Itô, Henry P. McKean Jr.
    Pages 5-40
  4. Kiyosi Itô, Henry P. McKean Jr.
    Pages 40-83
  5. Kiyosi Itô, Henry P. McKean Jr.
    Pages 83-105
  6. Kiyosi Itô, Henry P. McKean Jr.
    Pages 105-164
  7. Kiyosi Itô, Henry P. McKean Jr.
    Pages 164-211
  8. Kiyosi Itô, Henry P. McKean Jr.
    Pages 212-231
  9. Kiyosi Itô, Henry P. McKean Jr.
    Pages 232-291
  10. Kiyosi Itô, Henry P. McKean Jr.
    Pages 291-305
  11. Back Matter
    Pages 306-321

About this book

Introduction

Since its first publication in 1965 in the series Grundlehren der mathematischen Wissenschaften this book has had a profound and enduring influence on research into the stochastic processes associated with diffusion phenomena. Generations of mathematicians have appreciated the clarity of the descriptions given of one- or more- dimensional diffusion processes and the mathematical insight provided into Brownian motion. Now, with its republication in the Classics in Mathematics it is hoped that a new generation will be able to enjoy the classic text of Itô and McKean.

Keywords

Bessel process Brownian excursion Brownian motion Generator Maß diffusion process ergodic theory law of the iterated logarithm local time random walk stochastic processes

Authors and affiliations

  • Kiyosi Itô
    • 1
    • 3
  • Henry P. McKeanJr.
    • 2
  1. 1.RIMSKyoto UniversitySakyo-Ku, KyotoJapan
  2. 2.Courant Institute of Mathematical SciencesNew York UniversityNew YorkUSA
  3. 3.Cornell UniversityUSA

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-642-62025-6
  • Copyright Information Springer-Verlag Berlin Heidelberg 1996
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Springer Book Archive
  • Print ISBN 978-3-540-60629-1
  • Online ISBN 978-3-642-62025-6
  • Series Print ISSN 1431-0821
  • Buy this book on publisher's site