Multi-Dimensional Diffusions

  • David Aldous
Part of the Applied Mathematical Sciences book series (AMS, volume 77)


Applied to multi-dimensional diffusions, the heuristic helps with theoretical questions such as the distribution of extreme values, and applied questions such as the rate of escape from potential wells. Sections I1–I7 contain some basic definitions and facts we’ll need in the examples.


Brownian Motion Stationary Distribution Exit Time Fundamental Identity Simple Harmonic Oscillator 
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Copyright information

© Springer Science+Business Media New York 1989

Authors and Affiliations

  • David Aldous
    • 1
  1. 1.Department of StatisticsUniversity of California-BerkeleyBerkeleyUSA

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