Introduction to Random Diffusions
نویسنده
چکیده
The main reason to study random diffusions is that this class of processes combines two key features of modern probability theory. On the one hand they are semi-martingales so the whole Itô theory of stochastic integration applies, but on the other hand they are also strong Markov processes. The combination of techniques from those two worlds enables us to have an in-depth look at their behavior, particularly in the linear case d = 1.
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تاریخ انتشار 2006