Bücher von Daniel W. (Massachusetts Institute of Technology) Stroock

This second edition of Daniel W. Stroock's classic probability theory textbook is suitable for first-year graduate students with a good grasp of introductory, undergraduate probability. It includes more than 750 exercises and revised material on the treatment of Levy processes and a detailed account of Gaussian measures on a Banach space.

This book provides probabilists with sufficient background to begin applying PDEs to probability theory and probability theory to PDEs. It covers the theory of linear and second order PDEs of parabolic and elliptic type. While most of the techniques described have antecedents in probability theory, the book does cover a few purely analytic techniques.