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This volume offers an introductory course on differential stochastic equations and Malliavin calculus, based on lectures at Scuola Normale Superiore di Pisa and other universities. It covers Gaussian measures, Brownian motion, Itô's formula, and applications like the Feynman-Kac formula. The third edition includes improvements and a new section on the Feynman-Kac semigroup.
Nákup knihy
Introduction to Stochastic Analysis and Malliavin Calculus, Giuseppe Da Prato
- Jazyk
- Rok vydání
- 2014
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- Titul
- Introduction to Stochastic Analysis and Malliavin Calculus
- Jazyk
- anglicky
- Autoři
- Giuseppe Da Prato
- Vydavatel
- Edizioni della Normale
- Rok vydání
- 2014
- Vazba
- měkká
- ISBN13
- 9788876424977
- Kategorie
- Nezařazeno
- Anotace
- This volume offers an introductory course on differential stochastic equations and Malliavin calculus, based on lectures at Scuola Normale Superiore di Pisa and other universities. It covers Gaussian measures, Brownian motion, Itô's formula, and applications like the Feynman-Kac formula. The third edition includes improvements and a new section on the Feynman-Kac semigroup.