Stochastic Flows and Jump-Diffusions (eBook, PDF)
Hiroshi Kunita
eBook, PDF

Stochastic Flows and Jump-Diffusions (eBook, PDF)

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This monograph presents a modern treatment of (1) stochastic differential equations and (2) diffusion and jump-diffusion processes. The simultaneous treatment of diffusion processes and jump processes in this book is unique: Each chapter starts from continuous processes and then proceeds to processes with jumps.In the first part of the book, it is shown that solutions of stochastic differential equations define stochastic flows of diffeomorphisms. Then, the relation between stochastic flows and heat equations is discussed. The latter part investigates fundamental solutions of these heat equati...

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