Diffusion processes (Q2734980)
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scientific article; zbMATH DE number 1640007
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Diffusion processes |
scientific article; zbMATH DE number 1640007 |
Statements
29 May 2002
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diffusion
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Markov processes
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Brownian motion
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semigroups
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stochastic integrals
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Diffusion processes (English)
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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.NEWLINENEWLINEFor the entire collection see [Zbl 0961.60001].
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