Lecture Notes (Scuola Normale Superiore)

Introduction to Stochastic Analysis and Malliavin Calculus

Authors: Da Prato, Giuseppe

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About this Textbook

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.

Buy this book

Softcover $39.95
price for USA
  • ISBN 978-88-7642-337-6
  • Free shipping for individuals worldwide
  • This title is currently reprinting. You can pre-order your copy now.

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Bibliographic Information

Bibliographic Information
Book Title
Introduction to Stochastic Analysis and Malliavin Calculus
Authors
Series Title
Lecture Notes (Scuola Normale Superiore)
Series Volume
7
Copyright
2008
Publisher
Edizioni della Normale
Copyright Holder
Edizioni della Normale
Softcover ISBN
978-88-7642-337-6
Edition Number
2
Number of Pages
XVI, 211
Additional Information
Originally published as volume 6 in the series: Lecture Notes (Scuola Normale Superiore)
Topics