Diffusions and Elliptic Operators


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A discussion of the interplay of diffusion processes and partial differential equations with an emphasis on probabilistic methods. It begins with stochastic differential equations, the probabilistic machinery needed to study PDE, and moves on to probabilistic representations of solutions for PDE, regularity of solutions and one dimensional diffusions. The author discusses in depth two main types of second order linear differential operators: non-divergence operators and divergence operators, including topics such as the ...

Diffusions and Elliptic Operators 2013, Springer

ISBN-13: 9781475771596

1998 edition

Trade paperback

Diffusions and Elliptic Operators 1997, Springer, New York, NY

ISBN-13: 9780387983158

1998 edition