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Stochastic Processes: Selected Papers of Hiroshi Tanaka

Posted By: insetes
Stochastic Processes: Selected Papers of Hiroshi Tanaka

Stochastic Processes: Selected Papers of Hiroshi Tanaka By Hiroshi Tanaka, Makoto Maejima, Tokuzo Shiga
2002 | 444 Pages | ISBN: 9810245912 | PDF | 11 MB


Hiroshi Tanaka is noted for his discovery of the "Tanaka Formula", which is a generalization of the Ito formula in stochastic analysis. This is a selection of his brilliant works on stochastic processes and related topics. It contains Tanaka's papers on: (i) Brownian motion and stochastic differential equations (additive functionals of Brownian paths and stochastic differential equations with reflecting boundaries); (ii) the probabilistic treatment of nonlinear equations (Boltzmann equation, propagation of chaos and McKean-Vlasov limit); and (iii) stochastic processes in random environments (especially limit theorems on the stochastic processes in one-dimensional random environments and their refinements). The volume also includes essays by Henry McKean, Marc Yor, Shinzo Watanabe and Hiroshi Tanaka on Tanaka's works.