The theory of stochastic processes. III.

zbMATH Open1107.60012MaRDI QIDQ871584FDOQ871584

Authors: Iosif I. Gikhman, Anatolii V. Skorokhod 

Publication date: 19 March 2007

Published in: Classics in Mathematics (Search for Journal in Brave)

Mathematics Subject Classification ID

Diffusion processes (60J60) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Stochastic processes (60Gxx)

Cited In (13)

• On the parametric description of log-growth rates of Romanian city sizes
• Nonlinear continuous semimartingales
• The law of the iterated logarithm for solutions of stochastic differential equations with random coefficients
• Large deviations for Bernstein bridges
• Title not available (Why is that?)
• Robust utility maximization with nonlinear continuous semimartingales
• On martingale solutions of stochastic partial differential equations with Lévy noise
• Diffusion approximation of recurrent schemes for financial markets, with application to the Ornstein-Uhlenbeck process
• Optimal global approximation of systems of jump-diffusion SDEs on equidistant mesh
• Embedded Markov chain approximations in Skorokhod topologies
• Optimal sampling design for global approximation of jump diffusion stochastic differential equations
• Efficient approximate solution of jump-diffusion SDEs via path-dependent adaptive step-size control
• Shot noise, weak convergence and diffusion approximations

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