Stochastic Differential Equations on Manifolds

A basic 1982 treatment of stochastic differential equations on manifolds and their solution flows and the properties of Brownian motion on Riemannian manifolds.

List of contents

Preface; Introduction; 1. Preliminaries and notation; 2. Kolmogorov's Theorem, Totoki's Theorem, and Brownian Motion; 3. The integral: estimates and existence; 4. Special cases; 5. The change of variable formula; 6. Stochastic integral equations; 7. Stochastic differential equations on manifolds; 8. Regularity; 9. Diffusions; Appendices; References; Index.

Summary

This 1982 book aims to give an understanding of the basic ideas concerning stochastic differential equations on manifolds and their solution flows, to examine the properties of Brownian motion on Riemannian manifolds when it is constructed using the stochiastic development and to indicate some of the uses of the theory.

Product details

• Authors: K. D. Elworthy
• Assisted by: N. J. Hitchin (Editor)
• Publisher: Cambridge University Press
• Languages: English
• Product format: Paperback / Softback
• Released: 01.11.2010
• EAN: 9780521287678
• ISBN: 978-0-521-28767-8
• No. of pages: 348
• Dimensions: 152 mm x 229 mm x 21 mm
• Weight: 565 g
• Series: Themes in the Social Sciences
• Subject: Natural sciences, medicine, IT, technology > Mathematics > Probability theory, stochastic theory, mathematical statistics