Book Review

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Book Information:

Author: N.V. Krylov

Title: Introduction to the theory of diffusion processes

Additional book information: Transl. Math. Monographs, vol. 142, Amer. Math. Soc., Providence, RI, 1995, xi + 271 pp., ISBN 0-8218-4600-0, $95.00

**1.**L. Bachelier,*Théorie de la spéculation*, Ann. Sci. École Norm. Sup.**17**(1900), 21-86.**2.**R. Brown,*A Brief Account of Microscopical Observations Made in the Months of June, July, and August, 1827, on the Particles Contained in the Pollen of Plants; and on the General Existence of Active Molecules in Organic and Inorganic Bodies*, Philosophical Magazine N. S.**4**(1928), 161-173.**3.**J. Crank,*The mathematics of diffusion*, Oxford, at the Clarendon Press, 1956. MR**0082827****4.**Albert Einstein,*Investigations on the theory of the Brownian movement*, Dover Publications, Inc., New York, 1956. Edited with notes by R. Fürth; Translated by A. D. Cowper. MR**0077443****5.**Nobuyuki Ikeda and Shinzo Watanabe,*Stochastic differential equations and diffusion processes*, 2nd ed., North-Holland Mathematical Library, vol. 24, North-Holland Publishing Co., Amsterdam; Kodansha, Ltd., Tokyo, 1989. MR**1011252****6.**M. Kac,*On some connections between probability theory and differential and integral equations*, Proceedings of the Second Berkeley Symposium on Mathematical Statistics and Probability, 1950, University of California Press, Berkeley and Los Angeles, 1951, pp. 189–215. MR**0045333****7.**N. V. Krylov,*Controlled diffusion processes*, Applications of Mathematics, vol. 14, Springer-Verlag, New York-Berlin, 1980. Translated from the Russian by A. B. Aries. MR**601776****8.**Kiyosi Itō,*Selected papers*, Springer-Verlag, New York, 1987. Edited and with an introduction by S. R. S. Varadhan and Daniel W. Stroock. MR**868862****9.**N. Wiener,*Differential Space*, J. Math. Phys.**2**(1923), 131-174.

Review Information:

Reviewer: Jin Ma

Affiliation: Purdue University

Email: majin@math.purdue.edu

Journal: Bull. Amer. Math. Soc.

**34**(1997), 49-53

DOI: https://doi.org/10.1090/S0273-0979-97-00697-6

Review copyright: © Copyright 1997 American Mathematical Society