Abstract
Despite their reputation for sophistication, diffusion processes are widely applied throughout science and engineering. Here we survey the theory at an elementary level, stressing intuition rather than rigor. Readers with the time and mathematical inclination should follow up this brief account by delving into serious presentations of the mathematics [80, 107]. A good grounding in measure theory is indispensable in understanding the theory. At the highest level of abstraction, diffusion processes can be treated via the Ito stochastic integral [30, 38]. As background for this chapter, the reader is advised to review the material in Section 1.8 on the multivariate normal distribution.
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Lange, K. (2010). Diffusion Processes. In: Applied Probability. Springer Texts in Statistics, vol 0. Springer, New York, NY. https://doi.org/10.1007/978-1-4419-7165-4_11
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DOI: https://doi.org/10.1007/978-1-4419-7165-4_11
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