Item description for Introduction to Stochastic Analysis and Malliavin Calculus (Appunti) (v. 6) by Giuseppe Da Prato...
This volume collects lecture notes from courses delivered in the past years at the Scuola Normale Superiore in Pisa, and also at the Trento and Funchal Universities. It presents an introductory course on differential stochastic equations and Malliavin calculus. The lectures are addressed to readers 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 It's formula. The second part deals with the differential stochastic equations and their connection with parabolic problems. Several applications are given, notably the Feynman-Kac, Girsanov and Clark-Ocone formulae, the Krylov-Bogoliubov and Von-Neumann theorems.
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Studio: Edizioni della Normale
Est. Packaging Dimensions: Length: 9.29" Width: 5.91" Height: 0.79" Weight: 0.97 lbs.
Release Date Dec 20, 2007
Publisher Edizioni della Normale
ISBN 8876423133 ISBN13 9788876423130
Availability 0 units.
More About Giuseppe Da Prato
Giuseppe Da Prato is Emeritus Professor at the Scuola Normale Superiore di Pisa. His research activity concerns: stochastic analysis, evolution equations both deterministic and stochastic, elliptic and parabolic equations with infinitely many variables, deterministic and stochastic control. On these subjects he has produced more than 350 papers in reviewed journals and eight books.
Giuseppe Da Prato currently resides in Pisa. Giuseppe Da Prato has an academic affiliation as follows - Scuola Normale Superiore, Pisa Scuola Normale, Italy Scuola Normale Su.