Stochastic analysis and diffusion processes
Brownian motionDoob-Meyer decompositionergodicityGaussian solutions to stochastic equationsjump processesKolmogorov consistency theorylarge deviationslocal martingaleMarkov processesmartingale problemmartingalespartial differential equationsstochastic differential equationsstochastic integrationstochastic processes
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)
The authors sought to create a tutorial regarding stochastic analysis related to Brownian motion, but the theme of the textbook became broader and more intense. The book starts with the introduction to stochastic processes including Kolmogorov consistency theory, trajectories and their smooth properties, measurability, stopping times, and some other basic concepts of stochastic processes. Further, the book examines the foundations of the Brownian motion smoothly passing with the help of the theory of martingales to analytic tools for Brownian motion. Such traditional elements of stochastic analysis as stochastic integration and stochastic differential equations are included and applied to martingale problems, the treatment of partial differential equations in probability and Gaussian solutions to stochastic equations. Jump Markov processes are studied as well as invariant measures for multidimensional diffusions and ergodic measures. The large deviations principle for diffusions concludes the book. The style of the book is clear and transparent, everything you need and nothing more. The book can be recommended for all specialists in probability and stochastic processes and its applications starting from the undergraduate and graduate students and ending with experienced professionals.
- Semiclassical analysis for diffusions and stochastic processes
- 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
- Parameters estimation of continuous-time bilinear processes with a reflected boundary
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