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].


60J60 Diffusion processes