Diffusion Processes and their Sample Paths

Kiyosi Itô, Henry P. McKean

322 pages, parution le 01/01/1996

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Résumé

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.

Contents

Prerequisites 1

Ch. 1 The standard Brownian motion 5
Ch. 2 Brownian local times 40
Ch. 3 The general 1-dimensional diffusion 83
Ch. 4 Generators 105
Ch. 5 Time changes and killing 164
Ch. 6 Local and inverse local times 212
Ch. 7 Brownian motion in several dimensions 232
Ch. 8 A general view of diffusion in several dimensions 291

Bibliography 306
List of notations 313
Index

Caractéristiques techniques

	PAPIER
Éditeur(s)	Springer
Auteur(s)	Kiyosi Itô, Henry P. McKean
Parution	01/01/1996
Nb. de pages	322
Format	15,5 x 24
Couverture	Broché
Poids	535g
Intérieur	Noir et Blanc
EAN13	9783540606291