Advertisement

Random Perturbations

  • M. I. Freidlin
  • A. D. Wentzell
Part of the Grundlehren der mathematischen Wissenschaften book series (GL, volume 260)

Abstract

We shall assume known the basic facts of the Lebesgue integral and measure theory, as well as probability theory. The necessary information concerning these topics is contained, for example, in the corresponding chapters of the book by Kolmogorov and Fomin [1] and in the book by Gikhman and Skorokhod [1]. In this chapter we introduce notation and recall some information from the theory of stochastic processes in an appropriate form. We shall not provide proofs but rather references to the pertinent literature.

Keywords

Markov Process Random Process Gaussian Process Stochastic Differential Equation Wiener Process 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

Copyright information

© Springer Science+Business Media New York 1998

Authors and Affiliations

  • M. I. Freidlin
    • 1
  • A. D. Wentzell
    • 2
  1. 1.Department of MathematicsUniversity of MarylandCollege ParkUSA
  2. 2.Department of MathematicsTulane UniversityNew OrleansUSA

Personalised recommendations