Stochastic Differential Equations and Diffusion Processes, 2nd ed.
内容紹介
＜英文書＞
確率微分方程式の基礎理論を平易に展開し、拡散過程を数学的に扱って応用への橋渡しをする。好評の第1版の拡散過程を中心に大幅に増補・改訂した待望の第2版。海外提携先：North-Holland
目次
Chapter I. Preliminaries
Chapter II. Stochastic integrals and Ito's formula
Chapter III. Stochastic calculus
Chapter IV. Stochastic differential equations
Chapter V. Diffusion processes on manifolds
Chapter VI. Theorems on comparison and approximation and their applications
Bibliography