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Stochastic Differential Equations and Diffusion Processes - 2nd Edition - ISBN: 9780444873781, 9781483296159

Stochastic Differential Equations and Diffusion Processes, Volume 24

2nd Edition

Authors: N. Ikeda S. Watanabe
eBook ISBN: 9781483296159
Imprint: North Holland
Published Date: 1st March 1992
Page Count: 464
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Table of Contents

Preliminaries. Stochastic Integrals and Itô's Formula. Stochastic Calculus. Stochastic Differential Equations. Diffusion Process on Manifolds. Theorems on Comparison and Approximation and their Applications. Bibliography. Index.


Being a systematic treatment of the modern theory of stochastic integrals and stochastic differential equations, the theory is developed within the martingale framework, which was developed by J.L. Doob and which plays an indispensable role in the modern theory of stochastic analysis.

A considerable number of corrections and improvements have been made for the second edition of this classic work. In particular, major and substantial changes are in Chapter III and Chapter V where the sections treating excursions of Brownian Motion and the Malliavin Calculus have been expanded and refined. Sections discussing complex (conformal) martingales and Kahler diffusions have been added.


No. of pages:
© North Holland 1989
1st March 1992
North Holland
eBook ISBN:


@qu:This book has been eagerly awaited by experts... The authors are to be congratulated on a splendid piece of exposition. @source:Short Book Reviews @qu:...has been carefully constructed and lucidly presented; it will become a standard reference. @source:European Journal of Operational Research @from:A. Georgescu @qu:The book is of much interest for probabilists and geometers and for a wide circle of specialists, in particular scientists and engineers. @source:Revue Roumaine de Mathematique Pure et Applique @from:H. Heyer @qu:All mathematicians who take stochastic differential equations seriously, are encouraged anew to consult this standard work. @source:Metrika

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About the Authors

N. Ikeda

S. Watanabe