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Book Review
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Book Information
Author(s):
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.,
$95.00,
ISBN 0-8218-4600-0
References:
- 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 18:616c
- 4.
- A. Einstein, On the Movement of Small Particles Suspended in a Stationary Liquid Demanded by the Molecular-Kinetic Theory of Heat, Ann. Physik 17 (1905) [See also A. Einstein: Investigations on the Theory of the Brownian Movement (R. Fürth, ed.) Dover, New York (1959)]. MR 17:1035g
- 5.
- N. Ikeda and S. Watanabe, Stochastic Differential Equations and Diffusion Processes, North-Holland Publishing Company, 1989. MR 90m:60069
- 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, 1951, pp. 189-215. MR 13:568b
- 7.
- N.V. Krylov, Controlled Diffusion Processes, Springer-Verlag, 1980. MR 82a:60062
- 8.
- D.W. Stroock and S.R.S. Varadhan, Kiyosi Itô Selected Papers (Stroock and Varadhan, eds.), Springer-Verlag, 1987. MR 88d:60001
- 9.
- N. Wiener, Differential Space, J. Math. Phys. 2 (1923), 131-174.
Additional Information:
Reviewer(s):
Jin
Ma
Affiliation:
Purdue University
Email:
majin@math.purdue.edu
Review Information:
Journal:
Bull. Amer. Math. Soc.
34
(1997),
49-53.
MSC
(1991):
Primary 58G32, 60J60, 60J65;
Secondary 35R60, 60G44, 60H15
DOI:
10.1090/S0273-0979-97-00697-6
PII:
S 0273-0979(97)00697-6
Copyright of article:
Copyright
1997,
American Mathematical Society
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