Multidimensional Diffusion Processes

by Daniel W. Stroock, S.R.S. Varadhan

From the "This book is an excellent presentation of the application of martingale theory to the theory of Markov processes, especially multidimensional diffusions. [...] This monograph can be recommended to graduate students and research workers but also to all interested in Markov processes from a more theoretical point of view." Mathematische Operationsforschung und Statistik

338 pages, Hardcover

First published May 31, 1979

Reviews

[Daniel · Rating 4 out of 5]

Good overview of martingale theory. Contains exercises, but unfortunately no solutions.