Abstract
There is a rich interplay between probability theory and analysis, the study of which goes back at least to Kolmogorov (1931). It is not possible in a few sections to develop this subject systematically; we instead confine our attention to a few illustrative cases of this interplay. Recent monographs on this subject are those of Doob (1984) and Durrett (1984).
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© 1988 Springer-Verlag New York Inc.
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Karatzas, I., Shreve, S.E. (1988). Brownian Motion and Partial Differential Equations. In: Brownian Motion and Stochastic Calculus. Graduate Texts in Mathematics, vol 113. Springer, New York, NY. https://doi.org/10.1007/978-1-4684-0302-2_4
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DOI: https://doi.org/10.1007/978-1-4684-0302-2_4
Publisher Name: Springer, New York, NY
Print ISBN: 978-1-4684-0304-6
Online ISBN: 978-1-4684-0302-2
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