Introduction to Stochastic Analysis and Malliavin Calculus
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Beschreibung
This volume collects lecture notes from courses delivered in the past years at the Scuola Normale Superiore in Pisa, and also at the Trento and Funchal Universities. The first part is devoted to the Gaussian measure in a separable Hilbert space, the Malliavin derivative, the construction of the Brownian motion and Itô's formula. The second part deals with the differential stochastic equations and their connection with parabolic problems. The book also gives several applications.
Graduate text originating from a lot of teaching experiences
Deals in particular with stochastic differential equations
Autor*in
Giuseppe Da Prato
Themen in »Introduction to Stochastic Analysis and Malliavin Calculus«
Brownian motion Gaussian measure Itô integral Malliavin calculus Stochastic analysis