Diffusion processes and stochastic calculus (Q2250533)

The author's goal, well achieved, is to present in a concise form the most important techniques and ideas in the area of diffusion processes and stochastic calculus. Covered are not only classical topics such as Brownian motion and Itō calculus (including the Döblin contribution which was recently discovered and made public), Dynkin-Feller theory of Markov processes, but also more recent developments such as Dirichlet forms, Malliavin calculus and Lyons' rough paths theory. The material is divided into chapters as follows: Introduction. 1. Stochastic processes. 2. Brownian motion. 3. Markov processes. 4. Symmetric diffusion semigroups. 5. Itō calculus. 6. Stochastic differential equations and Malliavin calculus. 7. An introduction to Lyons' rough paths theory. Appendix A. Unbounded operators. Appendix B. Regularity theory. References. Index. The book is based on several different advanced courses given by the author at two universities (Toulouse and West Lafayette) and addressed to graduate students. Some of the chapters look ``independent'' from the others; however, this gives the freedom to make several different choices of topics for graduate courses. In order to be successful, the reader needs a strong mathematical background (functions and measures, probability semigroups, operators, differential equations). The author gives all the definitions, questions of interest, statements and conditions under which they are proved. Correctly, the reader is advised to work out details for some of the results, and to pay special attention to the large number of exercises distributed through the whole text. To solve the exercises would show a good understanding of the topics in the book. Moreover, the statements in some of the exercises are essentially used later when giving other results. The reader may find the reference comments at the end of each chapter useful. This is one of the first books providing the reader with an introduction to Lyons' rough paths theory. This makes Chapter 7 relatively independent of the previous material. However, knowledge in `more' classical topics is always useful if one wants to become familiar and/or learn this new and perspective area. Briefly, the conclusion is that the book addresses well the main achievements of modern stochastics. This reviewer has only two comments. The first comment is of a technical nature. It is good to see the traditional symbols and fonts \(\mathbb{R}\), \(\mathbb{C}\) as notations for spaces. However, another font (not the same), namely \({\mathbf P}\), \({\mathbf E}\) is well accepted for probability and expectation. Second comment, look at the Introduction. In general, it is good and useful. However, unknown how it has happened, but the author tells that the monograph by Kolmogorov was published in Russian in 1933. Well-known is that Kolmogorov has never written his book in the Russian language. He wrote the book in German, and the first edition is: [\textit{A. N. Kolmogoroff}, Grundbegriffe der Wahrscheinlichkeitsrechnung. Berlin: Julius Springer (1933; Zbl 0007.21601)]. Later, the book was translated from German into Russian and published in Moscow in 1936. Here, the author refers to the first English translation of 1950. There are more recent editions.