Stochastic integrals: Proceedings of the LMS Durham symposium

Description

Some readers may be helped by this more-or-less self-contained introduction to some important concepts: continuous semimartingales and the associated stochastic integrals; the Stroock-Varadhan theorem and its consequences for martingale representation; the Girsanov theorem; ..„; and, as a main theme, the modern theory of the Kolmogorov forward (or Fokker-Planck) equation, involving hypoellipticity and all that.

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