Document Zbl 0986.60075

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Diffusion processes. (English) Zbl 0986.60075

Shanbhag, D. N. (ed.) et al., Stochastic processes: Theory and methods. Amsterdam: North-Holland/ Elsevier. Handb. Stat. 19, 853-872 (2001).

The paper gives a very condensed survey of the by now classical material on diffusion processes: Brownian motion and Markov processes, semigroups and their generators, stochastic integrals and Itô calculus, the martingale formulation and the interplay with partial differential equations.
For the entire collection see [Zbl 0961.60001].

Reviewer: R.Grübel (Hannover)

Cited in 1 Review

Cited in 1 Document

MSC:

60J60

Diffusion processes

Keywords:

diffusion; Markov processes; Brownian motion; semigroups; stochastic integrals

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