Stochastic Flows and Stochastic Differential Equations (Cambridge Studies in Advanced Mathematics) by Hiroshi Kunita

Cambridge Studies in Advanced Mathematics #24

by Hiroshi Kunita

The main purpose of this book is to give a systematic treatment of the theory of stochastic differential equations and stochastic flow of diffeomorphisms, and through the former to study the properties of stochastic flows.The classical theory was initiated by K. It^o and since then has been much developed. Professor Kunita's approach here is to regard the stochastic differential equation as a dynamical system driven by a random vector field, including thereby It^o's theory as a special case. The book can be used with advanced courses on probability theory or for self-study.

Paperback

First published January 1, 1990