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


Normal view MARC view ISBD view

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

By: Stroock, Daniel W [author.].
Contributor(s): Varadhan, S. R. Srinivasa [author.] | SpringerLink (Online service).
Material type: TextTextSeries: Classics in Mathematics: Publisher: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2006Description: XII, 338 p. online resource.Content type: text Media type: computer Carrier type: online resourceISBN: 9783540289999.Subject(s): Distribution (Probability theory | Probability Theory and Stochastic Processes | Theoretical, Mathematical and Computational PhysicsAdditional 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 Online resources: Click here to access online
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.
Item type Current location Call number Status Date due Barcode Item holds
E-BOOKS E-BOOKS ISI Library, Kolkata
 
Available 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 for this item.

Log in to your account to post a comment.

Other editions of this work

Multidimensional diffusion processes by Stroock Daniel W
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


Visitor Counter