Lectures on Stochastic Analysis: Diffusion Theory
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Lectures on Stochastic Analysis: Diffusion Theory by Daniel W Stroock
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.Daniel W. Stroock is now Emeritus professor of the mathematics department at MIT. He is a renowned mathematician in the areas of analysis and probability theory and stochastic processes.
Prof. Stroock has had an active career in both the research and administrative levels of academia. From 2002-2006, he was selected the first holder of the second Simons Professorship of Mathematics. He has served as Chair of the Pure Math Committee from 1995-1997; a board member of the National Research Council. He has also chaired various committees of the AMS and was a nominee for AMS President in 1999. In 1996, the AMS awarded Dan Stroock (jointly with S. Varadhan), the Leroy P. Steele Prtize for his seminal contributions to research in stochastic equations. Prof. Stroock is a member of both the American Academy of Arts and Sciences and the National Academy of Sciences.
| SKU | Unavailable |
| ISBN 13 | 9780521336451 |
| ISBN 10 | 0521336457 |
| Title | Lectures on Stochastic Analysis: Diffusion Theory |
| Author | Daniel W Stroock |
| Series | London Mathematical Society Student Texts |
| Condition | Unavailable |
| Binding Type | Paperback |
| Publisher | Cambridge University Press |
| Year published | 1987-02-19 |
| Number of pages | 140 |
| Cover note | Book picture is for illustrative purposes only, actual binding, cover or edition may vary. |
| Note | Unavailable |
