Introduction to Stochastic Analysis and Malliavin Calculus
This volume presents an introductory course on differential stochastic equations and Malliavin calculus. The material of the book has grown out of a series of courses delivered at the Scuola Normale Superiore di Pisa (and also at the Trento and Funchal Universities) and has been refined over several...
Κύριος συγγραφέας: | |
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Συγγραφή απο Οργανισμό/Αρχή: | |
Μορφή: | Ηλεκτρονική πηγή Ηλ. βιβλίο |
Γλώσσα: | English |
Έκδοση: |
Pisa :
Scuola Normale Superiore : Imprint: Edizioni della Normale,
2014.
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Σειρά: | Publications of the Scuola Normale Superiore ;
13 |
Θέματα: | |
Διαθέσιμο Online: | Full Text via HEAL-Link |
Πίνακας περιεχομένων:
- Introduction
- 1 Gaussian measures in Hilbert spaces
- 2 Gaussian random variables
- 3 The Malliavin derivative
- 4 Brownian Motion
- 5 Markov property of Brownian motion
- 6 Ito’s integral
- 7 Ito’s formula
- 8 Stochastic differential equations
- 9 Relationship between stochastic and parabolic equations
- 10 Formulae of Feynman–Kac and Girsanov
- 11 Malliavin calculus
- 12 Asymptotic behaviour of transition semigroups
- A The Dynkin Theorem
- B Conditional expectation
- C Martingales
- D Fixed points depending on parameters
- E A basic ergodic theorem
- References.