Introduction to Stochastic Analysis and Malliavin Calculus
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 wit…
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Produktdetails
- ISBN: 978-88-7642-337-6
- EAN: 9788876423376
- Produktnummer: 31944428
- Verlag: Springer Nature EN
- Sprache: Englisch
- Erscheinungsjahr: 2009
- Seitenangabe: 211 S.
- Masse: H0.0 cm x B0.0 cm 0 g
- Auflage: 2. A.
- Reihenbandnummer: 07
- Sonstiges: Graduate
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