Lectures on stochastic processes. Notes by K. Muralidhara Rao. Reissued ed

MaRDI QIDQ2266528zbMATH OpenFDO

Authors Kiyosi Itô

Publication date 1984

Published in Lectures on Mathematics and Physics. Mathematics. Tata Institute of Fundamental Research (Search for Journal in Brave)

zbMATH Keywords

multi-dimensional Brownian motionStrong Markov processes

Mathematics Subject Classification ID

Diffusion processes (60J60) Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Markov processes (60Jxx)

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Cited in

(21)

• Fractional Brownian motion via fractional Laplacian
• Multiplicative functionals of Lévy processes
• Stationary Measures for the Flow of a Linear Differential Equation Driven by White Noise
• Local Behaviour of Solutions of Stochastic Integral Equations
• A convolution equation and hitting probabilities of single points for processes with stationary independent increments
• On the moving plane method for nonlocal problems in bounded domains
• A Free Boundary Problem Connected with the Optimal Stopping Problem for Diffusion Processes
• scientific article; zbMATH DE number 4105997 (Why is no real title available?)
• First hitting time for Bessel processes
• Continuous time Markov processes. An introduction.
• The Poisson kernel of positively curved manifolds
• Note on the asymptotic normality of a stochastic process with independent increments
• On the spectrum and Martin boundary of homogeneous spaces
• Stochastic generalized porous media equations over \(\sigma\)-finite measure spaces with non-continuous diffusivity function
• scientific article; zbMATH DE number 3934160 (Why is no real title available?)
• Nonlinear stochastic position and attitude filter on the special Euclidean group 3
• scientific article; zbMATH DE number 2017772 (Why is no real title available?)
• A partial differential equation with the white noise as a coefficient
• On Two Dimensional Markov Processes with Branching Property
• Multiplicity results for fractional systems crossing high eigenvalues
• Optimal filtering for correlated noise

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