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Generalized Diffusion Processes
 
Front Cover for Generalized Diffusion Processes
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Hardcover ISBN: 978-0-8218-4538-7
Product Code: MMONO/83
List Price: $99.00
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AMS Member Price: $79.20
Electronic ISBN: 978-1-4704-4496-9
Product Code: MMONO/83.E
List Price: $93.00
MAA Member Price: $83.70
AMS Member Price: $74.40
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Generalized Diffusion Processes
Available Formats:
Hardcover ISBN:  978-0-8218-4538-7
Product Code:  MMONO/83
List Price: $99.00
MAA Member Price: $89.10
AMS Member Price: $79.20
Electronic ISBN:  978-1-4704-4496-9
Product Code:  MMONO/83.E
List Price: $93.00
MAA Member Price: $83.70
AMS Member Price: $74.40
Bundle Print and Electronic Formats and Save!
This product is available for purchase as a bundle. Purchasing as a bundle enables you to save on the electronic version.
List Price: $148.50
MAA Member Price: $133.65
AMS Member Price: $118.80
  • 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
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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
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