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Generalized Diffusion Processes
 
Generalized Diffusion Processes
Hardcover ISBN:  978-0-8218-4538-7
Product Code:  MMONO/83
List Price: $165.00
MAA Member Price: $148.50
AMS Member Price: $132.00
eBook ISBN:  978-1-4704-4496-9
Product Code:  MMONO/83.E
List Price: $155.00
MAA Member Price: $139.50
AMS Member Price: $124.00
Hardcover ISBN:  978-0-8218-4538-7
eBook: ISBN:  978-1-4704-4496-9
Product Code:  MMONO/83.B
List Price: $320.00 $242.50
MAA Member Price: $288.00 $218.25
AMS Member Price: $256.00 $194.00
Generalized Diffusion Processes
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Generalized Diffusion Processes
Hardcover ISBN:  978-0-8218-4538-7
Product Code:  MMONO/83
List Price: $165.00
MAA Member Price: $148.50
AMS Member Price: $132.00
eBook ISBN:  978-1-4704-4496-9
Product Code:  MMONO/83.E
List Price: $155.00
MAA Member Price: $139.50
AMS Member Price: $124.00
Hardcover ISBN:  978-0-8218-4538-7
eBook ISBN:  978-1-4704-4496-9
Product Code:  MMONO/83.B
List Price: $320.00 $242.50
MAA Member Price: $288.00 $218.25
AMS Member Price: $256.00 $194.00
  • Book Details
     
     
    Translations of Mathematical Monographs
    Volume: 831990; 180 pp
    MSC: Primary 60

    Diffusion processes serve as a mathematical model for the physical phenomenon of diffusion. One of the most important problems in the theory of diffusion processes is the development of methods for constructing these processes from a given diffusion matrix and a given drift vector. Focusing on the investigation of this problem, this book is intended for specialists in the theory of random processes and its applications.

    A generalized diffusion process (that is, a continuous Markov process for which the Kolmogorov local characteristics exist in the generalized sense) can serve as a model for diffusion in a medium moving in a nonregular way. The author constructs generalized diffusion processes under two assumptions: first, that the diffusion matrix is sufficiently regular; and second, that the drift vector is a function integrable to some power, or is a generalized function of the type of the derivative of a measure.

  • Table of Contents
     
     
    • Chapters
    • Chapter I. The method of absolutely continuous change of measure
    • Chapter II. The analytic method
    • Chapter III. Generalized diffusion processes
  • Requests
     
     
    Review Copy – for publishers of book reviews
    Permission – for use of book, eBook, or Journal content
    Accessibility – to request an alternate format of an AMS title
Volume: 831990; 180 pp
MSC: Primary 60

Diffusion processes serve as a mathematical model for the physical phenomenon of diffusion. One of the most important problems in the theory of diffusion processes is the development of methods for constructing these processes from a given diffusion matrix and a given drift vector. Focusing on the investigation of this problem, this book is intended for specialists in the theory of random processes and its applications.

A generalized diffusion process (that is, a continuous Markov process for which the Kolmogorov local characteristics exist in the generalized sense) can serve as a model for diffusion in a medium moving in a nonregular way. The author constructs generalized diffusion processes under two assumptions: first, that the diffusion matrix is sufficiently regular; and second, that the drift vector is a function integrable to some power, or is a generalized function of the type of the derivative of a measure.

  • Chapters
  • Chapter I. The method of absolutely continuous change of measure
  • Chapter II. The analytic method
  • Chapter III. Generalized diffusion processes
Review Copy – for publishers of book reviews
Permission – for use of book, eBook, or Journal content
Accessibility – to request an alternate format of an AMS title
Please select which format for which you are requesting permissions.