0
votes
0answers
14 views

Reference request: The use Lyapunov-type functions in the analysis of diffusion processes

I've been told that there exists a series of Lyapunov type results for diffusion processes that are used to establish things like the existence and uniqueness of solutions, existence of invariant ...
2
votes
0answers
208 views

The most fundamental papers in stochastic analysis

I have soft a question. What papers will be good to on start and allow me to make little step into research, without harm for reader. I am interested in an stochastic analysis. I am looking for ...
2
votes
0answers
166 views

Good books on “advanced” stochastic analysis

Any good books suggestion for studding advanced features of stochastic analysis ? Thank's in advance
3
votes
1answer
139 views

Solving SDE's on subsets of $R^n$.

It is well-known (see for instance Oskendal's text) that if $T>0$ and $$b(\cdot,\cdot): [0,T] \times \mathbb{R}^n \rightarrow \mathbb{R}^n~~~~~~\sigma(\cdot,\cdot):[0,T] \times \mathbb{R}^n ...
2
votes
1answer
200 views

Reference request for Optimal Stopping (Stochastic Analysis)

I would like to start and get into the habit of reading some publications in different areas of mathematics, to get used to the writing style / mathematical sophistication etc. that is expected. In ...