Multidimensional Diffusion Processes
From the reviews: "… Both the Markov-process approach and the Itô approach … have been immensely successful in diffusion theory. The Stroock-Varadhan book, developed from the historic 1969 papers by its authors, presents the martingale-problem approach as
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Multidimensional Diffusion Processes
Daniel W.Stroock S. R. Srinivasa Varadhan
Multidimensional Diffusion Processes Reprint of the 1997 Edition
~ Springer
Daniel W. Stroock Massachusetts Institute of Technology Department of Mathematics 77 Massachusetts Ave Cambridge, MA 02139-4307 USA S. R. Srinivasa Varadhan New York University Courant Institute of Mathematical Sciences 251 Mercer Street New York, NY 10012 USA
O r i g i n a l l y published as Vol. 233 i n the series Grundlehren
der mathematischen
Wissenschaften
Mathematics Subject Classification (2000): 60J60,28A65
Library of Congress Control Number: 2005934787
ISSN 1431-0821 ISBN 978-3-662-22201-0 ISBN 978-3-540-28999-9 (eBook) D O I 10.1007/978-3-540-28999-9
This work is subject to copyright. A l l rights are reserved, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilm or in any other way, and storage i n data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9,1965, i n its current version, and permission for use must always be obtained from Springer. Violations are liable for prosecution under the German Copyright Law. Springer is a part of Springer Science+Business Media springeronline.com © Springer-Verlag Berlin Heidelberg, 2006 Originally published by Springer-Verlag Berlin Heidelberg New York in 2006 The use of general descriptive names, registered names, trademarks, etc. i n this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. Production: LE-TgX Jelonek, Schmidt & Vockler GbR, Leipzig Cover design: design & production Printed on acid-free paper
GmbH, Heidelberg
41/3142/YL-543 2 1 0
Grundlehren der mathematischen Wissenschaften 233 A Series of Comprehensive Studies in Mathematics
Series editors S.S. Chern J.1. Doob J. Douglas, jr. A. Grothendieck E. Heinz F. Hirzebruch E. Hopf S. Mac Lane W. Magnus M.M. Postnikov W. Schmidt D.S. Scott K. Stein J. Tits B.1. van der Waerden
Editor-in-Chief B. Eckmann
J.K. Moser
Springer-Verlag Berlin Heidelberg GmbH
Daniel w. Stroock S.R. Srinivasa Varadhan
Multidimensional Diffusion Processes
,
Springer
Daniel w. Stroock Massachusetts Institute of Technology Department of Mathematics 77 Massachusetts Ave Cambridge, MA 02139-4307 USA e-mail: [email protected]
S.R. Srinivasa Varadhan New York University Courant Institute of Mathematical Sciences 251 Mercer Street New York, NY 100U USA e-mail: [email protected] Cataloging-in-Publication Data applied for A catalog record for this book is available from the Llbrary of Congress. Bibliographic information published by Die Deutsche Bibliothek Die Deutsche Bibliothek lists this publication in the Deutsche Nationalbibliografie; detailed bibliographic data is available in the Internet at http://dnb.d
