Stochastic analysis and diffusion processes

DOI10.1093/ACPROF:OSO/9780199657063.001.0001MaRDI QIDQ2846515zbMATH OpenOpenAlexFDO

Authors Gopinath Kallianpur, P. Sundar

Publication date 5 September 2013

Published in Oxford Graduate Texts in Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/acprof:oso/9780199657063.001.0001

zbMATH Keywords

ergodicitymartingalesstochastic processeslarge deviationsBrownian motionDoob-Meyer decompositionMarkov processespartial differential equationsstochastic differential equationslocal martingalemartingale problemjump processesstochastic integrationGaussian solutions to stochastic equationsKolmogorov consistency theory

Mathematics Subject Classification ID

Gaussian processes (60G15) Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01)

Recommendations

• Stochastic calculus. An introduction through theory and exercises
• scientific article; zbMATH DE number 2109358
• Brownian motion, martingales, and stochastic calculus
• Stochastic processes. From applications to theory
• Brownian motion martingales and stochastic calculus

Cited in

(24)

• Splitting and survival probabilities in stochastic random walk methods and applications
• Asymptotic analysis of unstable solutions of stochastic differential equations
• Solution representation formula and Hopf lemma to Pucci’s equation
• scientific article; zbMATH DE number 918325 (Why is no real title available?)
• Stochastic sensitivity: a computable Lagrangian uncertainty measure for unsteady flows
• The Enskog process
• Semiclassical analysis for diffusions and stochastic processes
• Stochastic differential equations. An introduction with applications.
• Continuous Parameter Markov Processes and Stochastic Differential Equations
• The cutoff phenomenon in total variation for nonlinear Langevin systems with small layered stable noise
• Lyapunov-type inequality to general second-order elliptic equations
• Stochastic approaches to Lagrangian coherent structures
• Analytic stochastic processes II
• Applied stochastic analysis
• On the existence of weak solutions to stochastic Volterra equations
• Stochastic calculation of curves dynamics of enterprise
• Models of stochastic dynamics of development of industrial enterprises with lagging internal and external investments
• The cutoff phenomenon in Wasserstein distance for nonlinear stable Langevin systems with small Lévy noise
• Three-dimensional stochastic Navier–Stokes equations with Markov switching
• Rigorous convergence bounds for stochastic differential equations with application to uncertainty quantification
• Brownian motion, the Fredholm determinant, and time series analysis
• Rate of convergence in Trotter's approximation theorem and its applications
• Stochastic analysis of GSB process
• A stochastic Schumacher diffusion process: probability characteristics computation and statistical analysis

This page was built for publication: Stochastic analysis and diffusion processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2846515)