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

Brownian motionDoob-Meyer decompositionergodicityGaussian solutions to stochastic equationsjump processesKolmogorov consistency theorylarge deviationslocal martingaleMarkov processesmartingale problemmartingalespartial differential equationsstochastic differential equationsstochastic integrationstochastic processes

Mathematics Subject Classification ID

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

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Cited in

(25)

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

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