Diffusion

David Freedman
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David Freedman: University of California, Department of Statistics

Chapter 2 in Brownian Motion and Diffusion, 1983, pp 102-179 from Springer

Abstract: Abstract The material in this chapter is based on (Itô and McKean, 1965). I also benefitted from reading the diffusion chapter in (Breiman, 1968), and referred on occasion to (Blumenthal and Getoor, 1968) and to (Dynkin, 1965). There are few further bibliography citations in this chapter, because I have no real acquaintance with the relevant literature.

Keywords: Brownian Motion; Lebesgue Measure; Speed Measure; Standard Brownian Motion; Coordinate Process (search for similar items in EconPapers)
Date: 1983
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DOI: 10.1007/978-1-4615-6574-1_2

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