Item description for Transformation of Measure on Wiener Space (Springer Monographs in Mathematics) by A.Süleyman Üstünel...
This book gives a systematic presentation of the main results on the transformation of measure induced by shift transformations on Wiener space. This topic has its origins in the work of Cameron and Martin (anticipative shifts, 1940's) and that of Girsanov (non-anticipative shifts, 1960's). It played an important role in the development of non-anticipative stochastic calculus and itself developed under the impulse of the stochastic calculus of variations. Basic probability theory and the Ito calculus are assumed known; the necessary results from the Malliavin calculus are presented in the appendix. Aimed at graduate students and researchers, it can be used as a text for a course or a se- minar.
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Est. Packaging Dimensions: Length: 9.3" Width: 6" Height: 0.9" Weight: 1.25 lbs.
Release Date Jan 14, 2000
ISBN 3540664556 ISBN13 9783540664550
Availability 102 units. Availability accurate as of Jan 19, 2017 08:31.
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Reviews - What do customers think about Transformation of Measure on Wiener Space (Springer Monographs in Mathematics)?
All you wnated to know but did not dare to ask Apr 16, 2004
This book contains everything one needs about the transformations of the Wiener measure under the perturbation of identity-type mappings. It is particularly useful to graduate students in probability, analysis and theoretical physics. It is a pity that there is so few ad about it.