Multidimensional diffusion processes.
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Publication:2576824
zbMath1103.60005MaRDI QIDQ2576824
Daniel W. Stroock, Srinivasa R. S. Varadhan
Publication date: 28 December 2005
Published in: Classics in Mathematics (Search for Journal in Brave)
stochastic differential equation; limit theorems; martingale approach; Cameron-Martin-Girsanov formula; stochastic control and filtering
60J25: Continuous-time Markov processes on general state spaces
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60G44: Martingales with continuous parameter
60J60: Diffusion processes
60F17: Functional limit theorems; invariance principles
60-02: Research exposition (monographs, survey articles) pertaining to probability theory
93Exx: Stochastic systems and control
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