Since its first publication in 1965 in the series Grundlehren der mathematischen Wissenschaften this book has had a profound and enduring influence on research into the stochastic processes associated with diffusion phenomena. Generations of mathematicians have appreciated the clarity of the descriptions given of one- or more- dimensional diffusion processes and the mathematical insight provided into Brownian motion. Now, with its republication in the Classics in Mathematics it is hoped that a new generation will be able to enjoy the classic text of Itô and McKean.
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"The systematic character of the exposision, which makes from the widely ramified subject matter of the extensive literature a clear, masterly arranged whole, is a particularly valuable feature of this monograph." (Publicationes Mathematicae)
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U4 = Reihentext + Werbetext für dieses Buch Werbetext: Since its first publication in 1965 in the series Grundlehren der mathematischen Wissenschaften this book has had a profound and enduring influence on research into the stochastic processes associated with diffusion phenomena. Generations of mathematicians have appreciated the clarity of the descriptions given of one- or more- dimensional diffusion processes and the mathematical insight provided into Brownian motion. Now, with its republication in the Classics in Mathematics it is hoped that a new generation will be able to enjoy the classic text of Itô and McKean.
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First Sentence:
Consider a person walking in the integers according to the following rule: start at time n = 0 at s(0) = 0, 1, 2, . . . and flip a true coin; if tails comes up, step at time n = 1 to s(1) = s(0) - 1; if heads comes up, step to s (1) = s(0) + 1. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
successive passage times, global differential operator, inverse local times, conservative diffusion, local differential operator, mean exit time, covering motion, hitting probabilities, individual ergodic theorem, standard random walk, skew product, dot motion, speed measure, conditional law Key Phrases - Capitalized Phrases (CAPs): (learn more)
Generators Given New!
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Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
Consider a person walking in the integers according to the following rule: start at time n = 0 at s(0) = 0, 1, 2, . . . and flip a true coin; if tails comes up, step at time n = 1 to s(1) = s(0) - 1; if heads comes up, step to s (1) = s(0) + 1. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
successive passage times, global differential operator, inverse local times, conservative diffusion, local differential operator, mean exit time, covering motion, hitting probabilities, individual ergodic theorem, standard random walk, skew product, dot motion, speed measure, conditional law Key Phrases - Capitalized Phrases (CAPs): (learn more)
Generators Given New!
Concordance | Text Stats Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
Citations (learn more)
73
books
cite this book:
See all 73 books citing this book
- Stochastic Processes by Hiroshi Tanaka on 7 pages
- On Exponential Functionals of Brownian Motion and Related Processes by Marc Yor on page 12, and page 91
- Stochastic Processes & Optimal Control (Stochastics Monographs) by H. Engelbert on page 70, and page 176
- Seminar on Stochastic Processes, 1991 (Progress in Probability) by E. Cinlar on page 36, and page 142
- Wolf Prize in Mathematics by S. S. Chern on page 534, and page 539
See all 73 books citing this book
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