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Introduction to Stochastic Analysis and Malliavin Calculus (Appunti) (v. 6) [Paperback]

By Giuseppe Da Prato (Author)
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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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Item Specifications...

Studio: Edizioni della Normale
Pages   190
Est. Packaging Dimensions:   Length: 9.29" Width: 5.91" Height: 0.79"
Weight:   0.97 lbs.
Binding  Softcover
Release Date   Dec 20, 2007
Publisher   Edizioni della Normale
ISBN  8876423133  
ISBN13  9788876423130  

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More About Giuseppe Da Prato

Register your artisan biography and upload your photo! 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.

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1Books > Subjects > Professional & Technical > Professional Science > Mathematics > Applied > Differential Equations
2Books > Subjects > Professional & Technical > Professional Science > Mathematics > Applied > Statistics
3Books > Subjects > Professional & Technical > Professional Science > Physics > Mathematical Physics
4Books > Subjects > Science > General
5Books > Subjects > Science > Mathematics > Applied > Differential Equations
6Books > Subjects > Science > Mathematics > Applied > General
7Books > Subjects > Science > Mathematics > Applied > Probability & Statistics
8Books > Subjects > Science > Mathematics > General
9Books > Subjects > Science > Physics > Mathematical Physics

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