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Stochastic Differential Equations

Lectures given at a Summer School of the Centro Internazionale Matematico Estivo (C.I.M.E.) held in Cortona (Arezzo), Italy, May 29-June 10, 1978

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  • © 2011

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Editors:
  1. Jaures Cecconi
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Part of the book series: C.I.M.E. Summer Schools (CIME, volume 77)

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Table of contents (6 chapters)

  1. Front Matter

    Pages i-iii
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  2. Stochastic Processes and Stochastic Differential Equations

    • C. Doleans–Dade
    Pages 5-73

  3. Stochastic Differential Equations and Applications

    • Avner Friedman
    Pages 75-148

  4. Theory of Diffusion Processes

    • D. Stroock, S. R. S. Varadhan
    Pages 149-191

  5. Wave Propagation and Heat Conduction in a Random Medium

    • G. C. Papanicolaou
    Pages 193-218

  6. A Stochastic Problem in Physics

    • Cecile Dewitt‐Morette
    Pages 219-230

  7. The Embedding Problem for Stochastic Matrices

    • G. S. Goodman
    Pages 231-249
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About this book

C. Doleans-Dade: Stochastic processes and stochastic differential equations.- A. Friedman: Stochastic differential equations and applications.- D.W. Stroock, S.R.S. Varadhan: Theory of diffusion processes.- G.C. Papanicolaou: Wave propagation and heat conduction in a random medium.- C. Dewitt Morette: A stochastic problem in Physics.- G.S. Goodman: The embedding problem for stochastic matrices.

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