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Brownian Motion and Diffusions

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References and Further Reading

  • Ash RB, Gardner MF (1975) Topics in stochastic processes. Academic, London

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  • Billingsley P (1968) Convergence of probability measures. Wiley, New York

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  • Breiman L (1968) Probability. Addison-Wesley, Reading, MA

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  • Capasso V, Bakstein D (2005) An introduction to continuous-time stochastic processes theory, models, and applications to finance, biology, and medicine, Birkhäuser, Boston, MA

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  • Doob JL (1953) Stochastic processes. Wiley, New York

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  • Dynkin EB (1965) Markov processes, vols 1–2. Springer, Berlin

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  • Feller W (1971) An introduction to probability theory and its applications. 2nd edn. vol 2. Wiley, New York

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  • Friedman A (1975) Stochastic differential equations and applications. Academic, London

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  • Gihman II, Skorohod AV (1974–1979) The theory of stochastic processes, vols 1–3. Springer, Berlin

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  • Ikeda N, Watanabe S (1989) Stochastic differential equations and diffusion processes. North-Holland, Kodansha

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  • Karatzas I, Shreve SE (1991) Brownian motion and stochastic calculus. Springer, New York

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  • Karlin S, Taylor HM (1975) A first course in stochastic processes. Academic, New York

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  • Karlin S, Taylor HM (1981) A second course in stochastic processes. Academic, New York

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  • Rogers LCG, Williams D (1994) Diffusions, Markov processes and martingales, vol 1. Wiley, New York

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  • Taira K (1988) Diffusion processes and partial differential equations. Academic, New York

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Author information

Authors and Affiliations

  1. University of Milan, Milan, Italy

    Vincenzo Capasso (Professor of Probability and Mathematical Statistics)

Authors
  1. Vincenzo Capasso
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Editor information

Editors and Affiliations

  1. Department of Statistics and Informatics, Faculty of Economics, University of Kragujevac, City of Kragujevac, Serbia

    Miodrag Lovric

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© 2011 Springer-Verlag Berlin Heidelberg

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Capasso, V. (2011). Brownian Motion and Diffusions. In: Lovric, M. (eds) International Encyclopedia of Statistical Science. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-04898-2_154

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