Diffusion Processes and their Sample Paths

by Kiyoshi Itō

Since its first publication in 1965 in the series Grundlehren der mathematischen Wissenschaften this book has had a profound and enduring influence on research into the stochastic processes associated with diffusion phenomena. Generations of mathematicians have appreciated the clarity of the descriptions given of one- or more- dimensional diffusion processes and the mathematical insight provided into Brownian motion. Now, with its republication in the Classics in Mathematics it is hoped that a new generation will be able to enjoy the classic text of Itô and McKean .

338 pages, Paperback

First published January 1, 1965

About the author

Professor Kiyosi Itô is one of the most distinguished probability theorists in the world. He is the creator of a branch of mathematics that deals with stochastics and probabilities, now known as Itō calculus in his honour, and one of its main tools is the stochastic integral, also known as Itō integral. This calculus plays a fundamental role in modern financial mathematics.

Itō died in Kyoto, Japan, in 2008. He was 93 years old.