Multidimensional Diffusion Processes

by Daniel W. Stroock, S.R.S. Varadhan

Preliminary Extension Theorems, Martingales, and Compactness.- Markov Processes, Regularity of Their Sample Paths, and the Wiener Measure.- Parabolic Partial Differential Equations.- The Stochastic Calculus of Diffusion Theory.- Stochastic Differential Equations.- The Martingale Formulation.- Uniqueness.- Ito's Uniqueness and Uniqueness to the Martingale Problem.- Some Estimates on the Transition Probability Functions.- Explosion.- Limit Theorems.- The Non-Unique Case

356 pages, Paperback

First published May 31, 1979

Reviews

[Daniel · Rating 4 out of 5]

Good overview of martingale theory. Contains exercises, but unfortunately no solutions.