Multidimensional Diffusion Processes (Classics in Mathematics) - Softcover

Über die Autorin bzw. den Autor

Daniel W. Stroock is now Emeritus professor of the mathematics department at MIT. He is a renowned mathematician in the areas of analysis and probability theory and stochastic processes. Prof. Stroock has had an active career in both the research and administrative levels of academia. From 2002-2006, he was selected the first holder of the second Simons Professorship of Mathematics. He has served as Chair of the Pure Math Committee from 1995-1997; a board member of the National Research Council. He has also chaired various committees of the AMS and was a nominee for AMS President in 1999. In 1996, the AMS awarded Dan Stroock (jointly with S. Varadhan), the Leroy P. Steele Prtize for his seminal contributions to research in stochastic equations. Prof. Stroock is a member of both the American Academy of Arts and Sciences and the National Academy of Sciences.

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From the reviews:

"… Both the Markov-process approach and the Itô approach … have been immensely successful in diffusion theory. The Stroock-Varadhan book, developed from the historic 1969 papers by its authors, presents the martingale-problem approach as a more powerful - and, in certain regards, more intrinsic-means of studying the foundations of the subject. […] … the authors make the uncompromising decision not "to proselytise by intimidating the reader with myriad examples demonstrating the full scope of the techniques", but rather to persuade the reader "with a careful treatment of just one problem to which they apply". […] Most of the main tools of stochastic-processes theory are used, ..but it is the formidable combination of probability theory with analysis … which is the core of the work. […] I have emphasized the great importance of the Stroock-Varadhan book. It contains a lot more than I have indicated; in particular, its many exercises conain much interesting material.
For immediate confirmation of the subject’s sparkle, virtuosity, and depth, see … McKean (‘s 1969 book). The Stroock-Varadhan book proceeds on its inexorable way like a massive Bach fugue. … But old J.S. can e something of knockout if his themes get hold of you. And his influence on what followed was 8you may say) substantial."
David Williams in the Bulletin of the American Mathematical Society