Diffusion Processes and their Sample Paths : Reprint of the 1974 Edition

Since its first publication in 1965 in the series <i>Grundlehren der mathematischen Wissenschaften</i> this book has had a profound and enduring influence on research into the stochastic processes associated with diffusion phenomena. Generations of mathematicians have appreciated the clarity of the descriptions given of one- or more- dimensional diffusion processes and the mathematical insight provided into Brownian motion. Now, with its republication in the <i>Classics in Mathematics</i> it is hoped that a new generation will be able to enjoy the classic text of Itô and McKean<i>.</i>