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Generalized Diffusion Processes

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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
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List Price: $148.50 MAA Member Price:$133.65
AMS Member Price: $118.80 Click above image for expanded view 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.

• 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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