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.
- ISBN13 9780521333665
- Publish Date 19 February 1987
- Publish Status Inactive
- Out of Print 14 July 2000
- Publish Country GB
- Imprint Cambridge University Press
- Format Hardcover
- Pages 137
- Language English