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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

References [Enhancements On Off] (What's this?)

  • 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.

Review Information:

Reviewer: Jin Ma
Affiliation: Purdue University
Journal: Bull. Amer. Math. Soc. 34 (1997), 49-53
MSC (1991): Primary 58G32, 60J60, 60J65; Secondary 35R60, 60G44, 60H15
Review copyright: © Copyright 1997 American Mathematical Society
American Mathematical Society