Introduction to Stochastic Analysis and Malliavin Calculus
- 種類:
- 電子ブック
- 責任表示:
- by Giuseppe Prato
- 出版情報:
- Pisa : Scuola Normale Superiore : Imprint: Edizioni della Normale, 2014
- 著者名:
- シリーズ名:
- Publications of the Scuola Normale Superiore ; 13
- ISBN:
- 9788876424991 [8876424997]
- 注記:
- 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 years of teaching experience in the subject. The lectures are addressed to a reader who is familiar with basic notions of measure theory and functional analysis. 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 differential stochastic equations and their connection with parabolic problems. The third part provides an introduction to the Malliavin calculus. Several applications are given, notably the Feynman-Kac, Girsanov and Clark-Ocone formulae, the Krylov-Bogoliubov and Von Neumann theorems. In this third edition several small improvements are added and a new section devot
- ローカル注記:
- 学内専用E-BOOKS (local access only)
類似資料:
|
Springer |
Springer Science+Business Media, LLC |
|
Springer International Publishing : Imprint: Springer |
Springer New York |
|
Springer-Verlag Berlin Heidelberg |
Springer Nature Singapore : Imprint: Springer |
|
Springer London : Imprint: Springer |
Birkhäuser Boston |
|
Springer-Verlag Berlin Heidelberg |
Birkhäuser Boston : Imprint: Birkhäuser |
|
Springer US : Imprint: Springer |
Springer Berlin Heidelberg : Imprint: Springer |
