TY  - BOOK
AU  - Daniel W. Stroock 
AU  - S. R. Srinivasa Varadhan
TI  - Multidimensional diffusion processes
SN  - 9783540289982
AV  - QA274.75 
PY  - 1979///]
CY  - Heidelberg
PB  - Springer-Verlag
KW  - Mathematics
N1  - 1. Introduction
2. Preliminary Material: Extension Theorems, Martingales, and Compactness
3. Markov Processes, Regularity of Their Sample Paths, and the Wiener Measure
4. Parabolic Partial Differential Equations
5. The Stochastic Calculus of Diffusion Theory
6. Stochastic Differential Equations
7. The Martingale Formulation
8. Uniqueness
9. Itô’s Uniqueness and Uniqueness to the Martingale Problem
10. Some Estimates on the Transition Probability Functions
11. Explosion
12. Limit Theorems
13. The Non-unique Case
N2  - This book is an excellent presentation of the application of martingale theory to the theory of Markov processes, especially multidimensional diffusions. This approach was initiated by Stroock and Varadhan in their famous papers. The proofs and techniques are presented in such a way that an adaptation in other contexts can be easily done. The reader must be familiar with standard probability theory and measure theory which are summarized at the beginning of the book. This monograph can be recommended to graduate students and research workers but also to all interested in Markov processes from a more theoretical point of view. --- summary provided by publisher
UR  - https://link.springer.com/book/10.1007/3-540-28999-2#toc
ER  -