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This comprehensive volume on ergodic control for diffusions highlights intuition alongside technical arguments. A concise account of Markov process theory is followed by a complete development of the fundamental issues and formalisms in control of diffusions. This then leads to …
Itô calculus
by Williams, David, Rogers, Leonard C. G.
fromDiffusions, Markov processes, and martingales
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Type: Book
"Stochastic Analysis and Diffusion Processes presents a simple, mathematical introduction to Stochastic Calculus and its applications. The book builds the basic theory and offers a careful account of important research directions in Stochastic Analysis. The breadth and power of …
Essentials of Brownian motion and diffusion
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Type: Book