Multidimensional Diffusion Processes

Stroock, D. W., & Varadhan, S. R. S. (2006). Multidimensional Diffusion Processes. Springer.

Type

Book

Intellectual base

Review or monograph

Year

2006

DOI

10.1007/3-540-28999-2

ISBN

9783662222010

Link

https://doi.org/10.1007/3-540-28999-2

Cited by

1 citation across 1 artifact.

Domain-specific

• Diffusion Process
  • This operator connects probability to analysis: it determines local conditional moments, a martingale problem, backward equations for expected future values, and under regularity conditions a forward Fokker–Planck equation for evolving densities.

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