Lectures on Diffusion Problems and Partial Differential Equations
by S.R.S. Varadhan
Publisher: Tata Institute of Fundamental Research 1989
Number of pages: 324
Starting from Brownian Motion, the lectures quickly got into the areas of Stochastic Differential Equations and Diffusion Theory. An attempt was made to introduce to the students diverse aspects of the theory. The last section on Martingales is based on some additional lectures given by K. Ramamurthy of the Indian Institute of Science.
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