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- 572 pages
- English
- PDF
- Available on iOS & Android
eBook - PDF
Stochastic Differential Equations and Diffusion Processes
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About This Book
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.
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Yes, you can access Stochastic Differential Equations and Diffusion Processes by N. Ikeda,S. Watanabe in PDF and/or ePUB format, as well as other popular books in Mathematics & Differential Equations. We have over one million books available in our catalogue for you to explore.
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Table of contents
- Front Cover
- Stochastic Differential Equations and Diffusion Processes
- Copyright Page
- Table of Contents
- Dedication
- Preface to the Second Edition
- Preface
- General Notation
- CHAPTER I. Preliminaries
- CHAPTER II. Stochastic Integrals and Ito's Formula
- CHAPTER III. Stochastic Calculus
- CHAPTER IV. Stochastic Differential Equations
- CHAPTER V. Diffusion Processes on Manifolds
- CHAPTER VI. Theorems on Comparison and Approximation and their Applications
- Bibliography
- Index