Lectures on Stochastic Analysis: Diffusion Theory

This book is based on a course given at Massachusetts Institute of Technology.

Daniel W. Stroock (Author)

9780521336451, Cambridge University Press

Paperback, published 19 February 1987

140 pages
22.9 x 15.2 x 0.8 cm, 0.22 kg

This book is based on a course given at Massachusetts Institute of Technology. It is intended to be a reasonably self-contained introduction to stochastic analytic techniques that can be used in the study of certain problems. The central theme is the theory of diffusions. In order to emphasize the intuitive aspects of probabilistic techniques, diffusion theory is presented as a natural generalization of the flow generated by a vector field. Essential to the development of this idea is the introduction of martingales and the formulation of diffusion theory in terms of martingales. The book will make valuable reading for advanced students in probability theory and analysis and will be welcomed as a concise account of the subject by research workers in these fields.

1. Stochastic processes and measures on function space
2. Diffusions and martingales
3. The martingale problem formulation of diffusion theory.

Subject Areas: Probability & statistics [PBT]