Stochastic differential equations and diffusion processes

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Being a systematic treatment of the modern theory of stochastic integrals and stochastic differential equations, the theory is developed within the martingale framework, which was developed by J.L. Doob and which plays an indispensable role in the modern theory of stochastic analysis.A considerable...

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Detalles Bibliográficos
Autores principales: Ikeda, N, Watanabe, S
Lenguaje:eng
Publicado: North-Holland 1989
Materias:
Mathematical Physics and Mathematics
Acceso en línea:http://cds.cern.ch/record/1985897
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author Ikeda, N
Watanabe, S
author_facet Ikeda, N
Watanabe, S
author_sort Ikeda, N
collection CERN
description Being a systematic treatment of the modern theory of stochastic integrals and stochastic differential equations, the theory is developed within the martingale framework, which was developed by J.L. Doob and which plays an indispensable role in the modern theory of stochastic analysis.A considerable number of corrections and improvements have been made for the second edition of this classic work. In particular, major and substantial changes are in Chapter III and Chapter V where the sections treating excursions of Brownian Motion and the Malliavin Calculus have been expanded and refined. Sectio
id cern-1985897
institution Organización Europea para la Investigación Nuclear
language eng
publishDate 1989
publisher North-Holland
record_format invenio
spelling cern-19858972021-04-21T20:36:37Zhttp://cds.cern.ch/record/1985897engIkeda, NWatanabe, SStochastic differential equations and diffusion processesMathematical Physics and MathematicsBeing a systematic treatment of the modern theory of stochastic integrals and stochastic differential equations, the theory is developed within the martingale framework, which was developed by J.L. Doob and which plays an indispensable role in the modern theory of stochastic analysis.A considerable number of corrections and improvements have been made for the second edition of this classic work. In particular, major and substantial changes are in Chapter III and Chapter V where the sections treating excursions of Brownian Motion and the Malliavin Calculus have been expanded and refined. SectioNorth-Hollandoai:cds.cern.ch:19858971989
spellingShingle Mathematical Physics and Mathematics
Ikeda, N
Watanabe, S
Stochastic differential equations and diffusion processes
title Stochastic differential equations and diffusion processes
title_full Stochastic differential equations and diffusion processes
title_fullStr Stochastic differential equations and diffusion processes
title_full_unstemmed Stochastic differential equations and diffusion processes
title_short Stochastic differential equations and diffusion processes
title_sort stochastic differential equations and diffusion processes
topic Mathematical Physics and Mathematics
url http://cds.cern.ch/record/1985897
work_keys_str_mv AT ikedan stochasticdifferentialequationsanddiffusionprocesses
AT watanabes stochasticdifferentialequationsanddiffusionprocesses

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