Online Public Access Catalogue (OPAC)
Library,Documentation and Information Science Division

“A research journal serves that narrow

borderland which separates the known from the unknown”

-P.C.Mahalanobis


Image from Google Jackets

Multidimensional Diffusion Processes [electronic resource] / by Daniel W. Stroock, S. R. Srinivasa Varadhan.

By: Contributor(s): Material type: TextTextSeries: Classics in MathematicsPublisher: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2006Description: XII, 338 p. online resourceContent type:
  • text
Media type:
  • computer
Carrier type:
  • online resource
ISBN:
  • 9783540289999
Subject(s): Additional physical formats: Printed edition:: No title; Printed edition:: No title; Printed edition:: No title; Printed edition:: No title; Printed edition:: No titleDDC classification:
  • 519.2 23
LOC classification:
  • QA273.A1-274.9
  • QA274-274.9
Online resources:
Contents:
Preliminary Material: Extension Theorems, Martingales, and Compactness -- Markov Processes, Regularity of Their Sample Paths, and the Wiener Measure -- Parabolic Partial Differential Equations -- The Stochastic Calculus of Diffusion Theory -- Stochastic Differential Equations -- The Martingale Formulation -- Uniqueness -- Itô’s Uniqueness and Uniqueness to the Martingale Problem -- Some Estimates on the Transition Probability Functions -- Explosion -- Limit Theorems -- The Non-unique Case.
In: Springer eBooksSummary: 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.
Tags from this library: No tags from this library for this title. Log in to add tags.
Holdings
Item type Current library Call number Status Date due Barcode Item holds
E-BOOKS ISI Library, Kolkata Not for loan EB1268
Total holds: 0

Preliminary Material: Extension Theorems, Martingales, and Compactness -- Markov Processes, Regularity of Their Sample Paths, and the Wiener Measure -- Parabolic Partial Differential Equations -- The Stochastic Calculus of Diffusion Theory -- Stochastic Differential Equations -- The Martingale Formulation -- Uniqueness -- Itô’s Uniqueness and Uniqueness to the Martingale Problem -- Some Estimates on the Transition Probability Functions -- Explosion -- Limit Theorems -- The Non-unique Case.

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.

There are no comments on this title.

to post a comment.
Library, Documentation and Information Science Division, Indian Statistical Institute, 203 B T Road, Kolkata 700108, INDIA
Phone no. 91-33-2575 2100, Fax no. 91-33-2578 1412, ksatpathy@isical.ac.in