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 equationlimit theoremsmartingale approachCameron-Martin-Girsanov formulastochastic control and filtering
Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Functional limit theorems; invariance principles (60F17) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Stochastic systems and control (93Exx)
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