An Introduction to Infinite-Dimensional Analysis
In this revised and extended version of his course notes from a 1-year course at Scuola Normale Superiore, Pisa, the author provides an introduction - for an audience knowing basic functional analysis and measure theory but not necessarily probability theory - to analysis in a separable Hilbert space of infinite dimension. Starting from the definition of Gaussian measures in Hilbert spaces, concepts such as the Cameron-Martin formula, Brownian motion and Wiener integral are introduced in a simple way. These concepts are then used to illustrate some basic stochastic dynamical systems (including dissipative nonlinearities) and Markov semi-group…
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Produktdetails
- ISBN: 978-3-540-29020-9
- EAN: 9783540290209
- Produktnummer: 2257532
- Verlag: Springer Berlin Heidelberg
- Sprache: Englisch
- Erscheinungsjahr: 2006
- Seitenangabe: 228 S.
- Masse: H24.2 cm x B15.7 cm x D1.4 cm 355 g
- Auflage: 2006
- Abbildungen: Paperback
- Gewicht: 355
Über den Autor
GIUSEPPE DA PRATO was born in La Spezia in 1936. Having graduated in Physics in 1960 from the University of Rome, he became full professor of Mathematics in 1968 and taught in Rome and in Trento. Since 1979 he has been Professor of Mathematical Analysis at the Scuola Normale Superiore di Pisa.The scientific activity of Giuseppe Da Prato concerns infinite-dimensional analysis and partial differential stochastic equations (existence, uniqueness, invariant measures, ergodicity), with applications to optimal stochastic control.Giuseppe Da Prato is the author of 5 other books, some co-authored with other international specialists, on control theory, stochastic differential equations and infinite dimensional Kolmogorov equations, and of more than 250 papers in international scientific journals.
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