扩散过程及其样本轨道

书籍目录

PrerequisitesChapter 1. The standard BRowNian motion  1.1.  The standard random walk  1.2.  Passage times for the standard random walk  1.3.  HINCIN'S proof of the DE MOIVRE-LAPLACE limit theorem  1.4.  The standard BROWNian motion  1.5.  P. LEVY's construction  1.6.  Strict MAgKOV character  1.7.  Passage times for the standard BgowNian motion    Note 1: Homogeneous differential processes with increasing paths  1.8.  KOLMOGOROV'S test and the law of the iterated logarithm  1.9.  P. LEVY'S HOLDER condition  1.10. Approximating the BgowNian motion by a random walkChapter 2. BROWNian local times  2.1.  The reflecting BRowNian motion  2.2.  P. LEVY'S local time  2.3.  Elastic BgowNian motion  2.4.  t+ and down-crossings  2.5.  t+ as HAUSDORFF-BESICOVITCH 1/2-dimensional measure    Note 1: Submartingales    Note 2: HAUSDORFF measure and dimension  2.6.  Kxc's formula for BRowNian funetionals  2.7.  BESSEL processes  2.8.  Standard BRowNian local time  2.9.  BRowNian excursions  2.10. Application of the BESSEL process to BROWNian excursions  2.11. A time substitutionChapter 3. The general t-dimensional diffusion  3.t.  Definition  3.2.  MARKOV times  3.3.  Matching numbers  3.4.  Singular points  3.5.  Decomposing the general diffusion into simple pieces  3.6.  GREEN operators and the spaceD  3.7.  Generators  3.8.  Generators continued  3.9.  Stopped diffusionChapter 4. Generators   4.1.  A general view  4.2.   as local differential operator: conservative non-singular case  4.3.   as local differential operator: general non-singular case  4.4.  A second proof  4.5.   at an isolated singular point  4.6.  Solving  4.7.   as global differential operator: non-singular case  4.8.   on the shunts  4.9.   as global differential operator: singular case  4.10. Passage times    Note 1: Differential processes with increasing paths  4.ft. Eigen-differential expansions for GREEN functions and transition    densities  4.12. KOLMOGOROV'S testChapter 5. Time changes and killing  5.1.  Construction of sample paths: a general view  5.2.  Time changes  5.3.  Time changes  5.4.  Local times  5.5.  Subordination and chain rule  5.6.  Killing times  5.7.  FELLER'S BROWNlan motions  5.8.  IKEDA'S example  5.9.  Time substitutions must come from local time integrals  5.10. Shunts  5.11. Shunts with killing  5.12. Creation of mass  5.13. A parabolic equation  5.f4. Explosions  5.15. A non-linear parabolic equationChapter 6. Local and inverse local times  6.1.  Local and inverse local times  6.2.  LEVY measures  6.3.  t and the intervals of [0, + ∞)  6.4.  A counter example: t and the intervals of [0, +∞)  6.5a t and downcrossings  6.5b t as HAUSDORFF measure  6.5c t as diffusion  6.5d Excursions  6.6.  Dimension numbers  6.7.  Comparison tests Notension Dimension numbers and fractional dimensional capacities  6.8.  An individual ergodic theoremChapter 7. BRowNian motion in several dimensions  7.1.  Diffusion in several dimensions  7.2.  The standard BRowNian motion in several dimensions  7.3.  Wandering out to oo  7.4.  GREENian domains and GREEN functions  7.5.  Excessive functions  7.6.  Application to the spectrum of /1/2  7.7.  Potentials and hitting probabilities  7.8.  NEWTONian capacities  7.9.  GAUSS's quadratic form  7.10. WIENER'S test  7.11. Applicatiors of WIENER'S test  7.12. DIRICHLET problem  7.13. NEUHANN problem  7.14. Space-time BROWNian moticn  7.15. Spherical BROWNian motion and skew products  7.16. Spinning  7.17. An individual  ergodic theorem for the standard 2-dimensional BROWNian motion  7.18. Covering BROWNian motions  7.19. Diffusions with BROWNian hitting probabilities  7.20. Right-continuous paths  7.21. RIESZ potentialsChapter 8. A general view of diffusion in several dimensions  8.1.  Similar diffusions  8.2.  as differential operater  8.3.  Time substitutions  8.4.  Potentials  8.5.  Boundaries  8.6.  Elliptic operators  8.7.  FELLER'S little boundary and tail algebrasBibliographyList of notationsIndex

作者简介

《扩散过程及其样本轨道(英文版)》是Springer《数学经典教材》系列之一，对与扩散现象有关的随机过程产生持久而深刻的影响。不少数学家受益于《扩散过程及其样本轨道(英文版)》一维和多维扩散过程的描述和独到的布朗运动数学见解。传承这一系列书的风格，行文简洁流畅。每章节后面都配有问题并有部分解答，很适合作为教材和自学用书。目次：标准布朗运动；布朗局部时间；一般一维扩散；生成元；局部时间和逆时间序列；多维布朗运动；多维扩散简述。

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