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Lectures on Stochastic Flows and Applications: Lectures delivered at the Indian Institute of Science, Bangalore und the T.I.F.R. - I.I.Sc. Programme in ... Lectures on Mathematics and Physics)

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Lectures on Stochastic Flows and Applications: Lectures delivered at the Indian Institute of Science, Bangalore und the T.I.F.R. - I.I.Sc. Programme in ... Lectures on Mathematics and Physics)

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    Available in PDF Format | Lectures on Stochastic Flows and Applications: Lectures delivered at the Indian Institute of Science, Bangalore und the T.I.F.R. - I.I.Sc. Programme in ... Lectures on Mathematics and Physics).pdf | Unknown
    H. Kunita
These are the notes of a lecture course given by the author at the T.I.F.R. Centre, Bangalore in late 1985. The contents are divided into three chapters concluding with an extensive bibliography. Chapters 1 and 2 deal with basic properties of stochastic flows and especially of Brownian flows and their relations with local characteristics and stochastic differential equations. An appendix on the generalized Ito ^ formula, Stratonovich integral and Stratonovich stochastic differential equations has been added to Chapter 2. By the way of applications of the foregoing, limit theorems for stochastic flows, along with a unifying general limit theorem, are then presented in Chapter 3 including: - Approximation theorems for stochastic differential equations and stochastic flows, due to Bismut, Ikeda-Watanabe, Malliavin, Dowell etc. - Limit theorems for driving processes, due to Papanicolaou-Stroock-Varadhan, and - Limit theorems for stochastic differential equations, due to Khasminkii, Papanicolaou-Kohler, Kesten-Papanicolaou etc.  
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