

Hardcover ISBN: | 978-0-8218-4538-7 |
Product Code: | MMONO/83 |
180 pp |
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 |
180 pp |
List Price: | $93.00 |
MAA Member Price: | $83.70 |
AMS Member Price: | $74.40 |
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Book DetailsTranslations of Mathematical MonographsVolume: 83; 1990MSC: 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
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Chapters
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Chapter I. The method of absolutely continuous change of measure
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Chapter II. The analytic method
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Chapter III. Generalized diffusion processes
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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.
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Chapters
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Chapter I. The method of absolutely continuous change of measure
-
Chapter II. The analytic method
-
Chapter III. Generalized diffusion processes