Itô’s Stochastic Calculus and Probability Theory

Edited by Nobuyuki Ikeda, Shinzo Watanabe, Masatoshi Fukushima and Hiroshi Kunita

in Springer Books from Springer

Date: 1996
ISBN: 978-4-431-68532-6
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Chapters in this book:

Lévy measure of superprocesses; absorption processes

E. B. Dynkin

A class of integration by parts formulae in stochastic analysis I

K. D. Elworthy and Xue-Mei Li

Smooth measures and continuous additive functionals of right Markov processes

P. J. Fitzsimmons and R. K. Getoor

On decomposition of additive functionals of reflecting Brownian motions

Masatoshi Fukushima and Matsuyo Tomisaki

Equilibrium fluctuations for lattice gas

T. Funaki

Hall’s transform and the Segal-Bargmann map

Leonard Gross and Paul Malliavin

Lagrangian for pinned diffusion process

Keisuke Hara and Yoichiro Takahashi

Short Time Asymptotics and an Approximation for the Heat Kernel of a Singular Diffusion

Yasuji Hashimoto, Shojiro Manabe and Yukio Ogura

Van Vleck-Pauli formula for Wiener integrals and Jacobi fields

Nobuyuki Ikeda and Shojiro Manabe

Some recent developments in nonlinear filtering theory

G. Kallianpur

Detecting a single defect in a scenery by observing the scenery along a random walk path

Harry Kesten

Analytic approach to Yor’s formula of exponential additive functionals of Brownian motion

Shin-ichi Kotani

Stochastic differential equations with jumps and stochastic flows of diffeomorphisms

Hiroshi Kunita

A Remark on American Securities

Shigeo Kusuoka

Calculus for multiplicative functionals, Itô’s formula and differential equations

T. J. Lyons and Z. M. Qian

A Martin boundary connected with the ∞-volume limit of the focussing cubic Schrödinger equation

Henry P. McKean

Diffusion processes on an open time interval and their time reversal

Masao Nagasawa and Thomas Domenig

On sensitive control and differential games in infinite dimensional spaces

Makiko Nisio

Decomposition at the maximum for excursions and bridges of one-dimensional diffusions

Jim Pitman and Marc Yor

Interacting diffusion systems over Z d

Tokuzo Shiga

A Kähler metric on a based loop group and a covariant differentiation

Ichiro Shigekawa and Setsuo Taniguchi

Burgers system driven by a periodic stochastic flow

Ya. G. Sinai

An estimate on the Hessian of the heat kernel

Daniel W. Stroock

Environment-wise central limit theorem for a diffusion in a Brownian environment with large drift

Hiroshi Tanaka

The complex story of simple exclusion

S. R. S. Varadhan

Lévy’s stochastic area formula and Brownian motion on compact Lie groups

Shinzo Watanabe

Principal values of Brownian local times and their related topics

Toshio Yamada

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DOI: 10.1007/978-4-431-68532-6

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