Generalized diffusion processes:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English Russian |
| Veröffentlicht: |
Providence, RI
American Mathematical Society
1990
|
| Schriftenreihe: | Translations of mathematical monographs
83 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Aus d. Russ. übers. |
| Beschreibung: | IX, 180 S. |
| ISBN: | 0821845381 |
Internformat
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| 245 | 1 | 0 | |a Generalized diffusion processes |c N. I. Portenko |
| 264 | 1 | |a Providence, RI |b American Mathematical Society |c 1990 | |
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Datensatz im Suchindex
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|---|---|
| adam_text | Contents
Preface to the English Edition v
Preface vii
CHAPTER I. The Method of Absolutely Continuous Change of
Measure 1
§1. A lemma on the existence of exponential moments 1
§2. An inequality for solutions of stochastic differential
equations with zero drift vector 4
§3. Properties of exponential supermartingales 12
§4. Construction of a solution in the case of Conditions (A)
and (B) 21
§5. Properties of the solution constructed. Uniqueness 30
§6. A limit theorem 36
§7. Construction of a solution in the general case 39
CHAPTER II. The Analytic Method 49
§ 1. Two lemmas 49
§2. The fundamental solution 55
§3. Construction of a solution of a stochastic differential
equation 73
§4. A limit theorem 83
§5. The homogeneous case 95
§6. The case m = 1 and b(x) =1 111
CHAPTER III. Generalized Diffusion Processes 119
§1. Definitions 119
§2. Processes with integrable drift coefficient 122
§3. Processes with generalized drift coefficient 125
§4. Stochastic differential equations with generalized drift vector 148
Comments 163
Bibliography 173
Index 179
iii
|
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| discipline | Mathematik |
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| id | DE-604.BV004611157 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-09T16:14:57Z |
| institution | BVB |
| isbn | 0821845381 |
| language | English Russian |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-002832824 |
| oclc_num | 22625142 |
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| physical | IX, 180 S. |
| publishDate | 1990 |
| publishDateSearch | 1990 |
| publishDateSort | 1990 |
| publisher | American Mathematical Society |
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| series | Translations of mathematical monographs |
| series2 | Translations of mathematical monographs |
| spelling | Portenko, Nikolaj I. Verfasser aut Obobščennye diffuzionnye processy Generalized diffusion processes N. I. Portenko Providence, RI American Mathematical Society 1990 IX, 180 S. txt rdacontent n rdamedia nc rdacarrier Translations of mathematical monographs 83 Aus d. Russ. übers. Processus de diffusion Processus de diffusion ram Diffusion processes Diffusionsprozess (DE-588)4274463-5 gnd rswk-swf Diffusionsprozess (DE-588)4274463-5 s DE-604 Translations of mathematical monographs 83 (DE-604)BV000002394 83 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=002832824&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Portenko, Nikolaj I. Generalized diffusion processes Translations of mathematical monographs Processus de diffusion Processus de diffusion ram Diffusion processes Diffusionsprozess (DE-588)4274463-5 gnd |
| subject_GND | (DE-588)4274463-5 |
| title | Generalized diffusion processes |
| title_alt | Obobščennye diffuzionnye processy |
| title_auth | Generalized diffusion processes |
| title_exact_search | Generalized diffusion processes |
| title_full | Generalized diffusion processes N. I. Portenko |
| title_fullStr | Generalized diffusion processes N. I. Portenko |
| title_full_unstemmed | Generalized diffusion processes N. I. Portenko |
| title_short | Generalized diffusion processes |
| title_sort | generalized diffusion processes |
| topic | Processus de diffusion Processus de diffusion ram Diffusion processes Diffusionsprozess (DE-588)4274463-5 gnd |
| topic_facet | Processus de diffusion Diffusion processes Diffusionsprozess |
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