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Introduction to Stochastic Analysis and Malliavin Calculus - Giuseppe Da Prato - Bog

Bag om Introduction to Stochastic Analysis and Malliavin Calculus

This volume presents an introductory course on differential stochastic equations and Malliavin calculus. The first part is devoted to the Gaussian measure in a separable Hilbert space, the Malliavin derivative, the construction of the Brownian motion and Ito's formula. The third part provides an introduction to the Malliavin calculus.

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  • Sprog:
  • Engelsk
  • ISBN:
  • 9788876424977
  • Indbinding:
  • Paperback
  • Sideantal:
  • 279
  • Udgivet:
  • 17. april 2014
  • Udgave:
  • 2014
  • Størrelse:
  • 237x155x25 mm.
  • Vægt:
  • 474 g.
  • 2-15 hverdage.
  • 10. december 2024
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Beskrivelse af Introduction to Stochastic Analysis and Malliavin Calculus

This volume presents an introductory course on differential stochastic equations and Malliavin calculus. The first part is devoted to the Gaussian measure in a separable Hilbert space, the Malliavin derivative, the construction of the Brownian motion and Ito's formula. The third part provides an introduction to the Malliavin calculus.

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