Multidimensional Diffusion Processes - Stroock, Daniel W.;Varadhan, S. R. S.
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"This book is an excellent presentation of the application of martingale theory to the theory of Markov processes, especially multidimensional diffusions. This approach was initiated by Stroock and Varadhan in their famous papers. (...) The proofs and techniques are presented in such a way that an adaptation in other contexts can be easily done. (...) The reader must be familiar with standard probability theory and measure theory which are summarized at the beginning of the book. This monograph can be recommended to graduate students and research workers but also to all interested in Markov…mehr

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Produktbeschreibung
"This book is an excellent presentation of the application of martingale theory to the theory of Markov processes, especially multidimensional diffusions. This approach was initiated by Stroock and Varadhan in their famous papers. (...) The proofs and techniques are presented in such a way that an adaptation in other contexts can be easily done. (...) The reader must be familiar with standard probability theory and measure theory which are summarized at the beginning of the book. This monograph can be recommended to graduate students and research workers but also to all interested in Markov processes from a more theoretical point of view." Mathematische Operationsforschung und Statistik, 1981
Autorenporträt
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.