Name: Introduction to Stochastic Analysis and Malliavin Calculus (en Inglés)
SKU: 57721482
Price: 752.85 MXN
Availability: InStock
Author: Da Prato, Giuseppe
ISBN: 9788876424977

portada Introduction to Stochastic Analysis and Malliavin Calculus (en Inglés)

Introduction to Stochastic Analysis and Malliavin Calculus (en Inglés)

Formato

Libro Físico

Autor

Giuseppe Da Prato

Editorial

Edizioni Della Normale

Idioma

Inglés

N° páginas

279

Encuadernación

Tapa Blanda

Dimensiones

23.9x15x2.3 cm

Peso

0.54 kg.

ISBN13

9788876424977

Categorías

Análisis funcional y transformaciones
Probabilidad y estadística

Introduction to Stochastic Analysis and Malliavin Calculus (en Inglés)

Giuseppe Da Prato (Autor) · Edizioni Della Normale · Tapa Blanda

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Reseña del libro "Introduction to Stochastic Analysis and Malliavin Calculus (en Inglés)"

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 devoted to the differentiability of the Feynman-Kac semigroup is introduced. A considerable number of corrections and improvements have been made.