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Chapter 6: Diffusion Processes
https://doi.org/10.1142/9781800615588_0006Cited by:0 (Source: Crossref)
Abstract:
The following sections are included:
Martingales and Dynkin’s Formula
Calculation of Expectations and PDE
Time Homogeneous Diffusions
Exit Times from an Interval
Explosion
Recurrence and Transience
Diffusion on an Interval
Stationary Distributions
Multidimensional SDE
Problems
