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Stochastic Differential Equations and Diffusion Processes

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by N. Ikeda & S. Watanabe
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Stochastic Differential Equations and Diffusion Processes by N. Ikeda & S. Watanabe

Being a systematic treatment of the modern theory of stochastic integrals and stochastic differential equations, the theory is developed within the martingale framework, which was developed by J.L. Doob and which plays an indispensable role in the modern theory of stochastic analysis.

A considerable number of corrections and improvements have been made for the second edition of this classic work. In particular, major and substantial changes are in Chapter III and Chapter V where the sections treating excursions of Brownian Motion and the Malliavin Calculus have been expanded and refined. Sections discussing complex (conformal) martingales and Kahler diffusions have been added.

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Ebook Details
Pages: 464
Size: 38.1 MB
Publisher: North Holland
Date published:   2014
ISBN: 9781483296159 (DRM-PDF)

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This product is listed in the following categories:

Nonfiction > Mathematics > Probability & Statistics
Nonfiction > Mathematics > Applied

These authors have products in the following categories:

Nonfiction > Mathematics > Probability & Statistics
Nonfiction > Mathematics > Differential Equations
Nonfiction > Mathematics > Applied

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05/30/2017
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