Stochastic Differential Equations and Diffusion Processes
Download or Read eBook Stochastic Differential Equations and Diffusion Processes PDF written by N. Ikeda and published by Elsevier. This book was released on 2014-06-28 with total page 572 pages. Available in PDF, EPUB and Kindle.
| Author | : N. Ikeda |
| Publisher | : Elsevier |
| Total Pages | : 572 |
| Release | : 2014-06-28 |
| ISBN-10 | : 9781483296159 |
| ISBN-13 | : 1483296156 |
| Rating | : 4/5 (59 Downloads) |
Book Synopsis Stochastic Differential Equations and Diffusion Processes by : N. Ikeda
Book excerpt: 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. Sections discussing complex (conformal) martingales and Kahler diffusions have been added.
