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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. 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, 1951, pp. 189-215. MR 13:568b
  • 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 It\B{o}, 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
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