Authors:
Part of the book series: Publications of the Scuola Normale Superiore (PSNS, volume 7)
Part of the book sub series: Lecture Notes (Scuola Normale Superiore) (LNSNS)
About this book
This volume presents an introductory course on differential stochastic equations and Malliavin calculus.
The material of the book has grown from 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 the differential stochastic equations and their connection with parabolic problems. The third part contains 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.
Authors and Affiliations
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Scuola Normale Superiore di Pisa, Pisa, Italy
Giuseppe Da Prato
Bibliographic Information
Book Title: Introduction to Stochastic Analysis and Malliavin Calculus
Authors: Giuseppe Da Prato
Series Title: Publications of the Scuola Normale Superiore
Publisher: Edizioni della Normale Pisa
Copyright Information: Edizioni della Normale 2008
Softcover ISBN: 978-88-7642-337-6Due: 20 February 2009
Series ISSN: 2239-1460
Series E-ISSN: 2532-1668
Edition Number: 2
Number of Pages: XVI, 211
Additional Information: Originally published as volume 6 in the series: Lecture Notes (Scuola Normale Superiore)