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About this book

Strong and weak solutions, notions of existence and uniqueness, Yamada-Watanabe theorem, strong Markov property, and relation to second order partial differential equations. Stroock-Varadhan theory. Diffusions, martingale problems, equivalence with SDEs, approximations of diffusions by Markov chains.


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Notes Example Sheets The example sheets will be posted here during the course of the term. Example Sheet 1 posted January Questions to hand in: 7 and 12 without bonus. Solution sketch.


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  • Example Sheet 2 posted February 2. Questions to hand in: 3 and 5. Example Sheet 3 posted February Questions to hand in: 3 and 6. Example Sheet 4 posted March 3.

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    Probability Theory III by Y.V. Prokhorov, Albert N. Shiryaev | Waterstones

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