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Potential Theory in Classical Probability

  • Nicolas Privault
Part of the Lecture Notes in Mathematics book series (LNM, volume 1954)

Abstract

These notes are an elementary introduction to classical potential theory and to its connection with probabilistic tools such as stochastic calculus and the Markov property. In particular we review the probabilistic interpretations of harmonicity, of the Dirichlet problem, and of the Poisson equation using Brownian motion and stochastic calculus.

Keywords

Brownian Motion Harmonic Function Dirichlet Problem Poisson Equation Potential Theory 
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Copyright information

© Springer-Verlag Berlin Heidelberg 2008

Authors and Affiliations

  • Nicolas Privault
    • 1
  1. 1.Department of MathematicsCity University of Hong KongKowloon TongHong Kong

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