Stochastic Flows and Stochastic Differential Equations (Paperback, Revised)

Stochastic analysis and stochastic differential equations are rapidly developing fields in probability theory and its applications. This book provides a systematic treatment of stochastic differential equations and stochastic flow of diffeomorphisms and describes the properties of stochastic flows. Professor Kunita's approach regards the stochastic differential equation as a dynamical system driven by a random vector field, including K. Itô's classical theory. Beginning with a discussion of Markov processes, martingales and Brownian motion, Kunita reviews Itô's stochastic analysis. He places emphasis on establishing that the solution defines a flow of diffeomorphisms. This flow property is basic in the modern and comprehensive analysis of the solution and will be applied to solve the first and second order stochastic partial differential equations. This book will be valued by graduate students and researchers in probability. It can also be used as a textbook for advanced probability courses.

General

Imprint:	Cambridge UniversityPress
Country of origin:	United Kingdom
Series:	Cambridge Studies in Advanced Mathematics
Release date:	April 1997
First published:	1990
Authors:	Hiroshi Kunita
Dimensions:	229 x 152 x 21mm (L x W x T)
Format:	Paperback - Trade
Pages:	364
Edition:	Revised
ISBN-13:	978-0-521-59925-2
Categories:	Books > Science & Mathematics > Mathematics > Probability & statistics Books > Science & Mathematics > Mathematics > Calculus & mathematical analysis > Differential equations Promotions
LSN:	0-521-59925-3
Barcode:	9780521599252

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