Diffusion processes and stochastic calculus / Fabrice Baudoin.
Material type:
TextSeries: EMS textbooks in mathematicsPublication details: Switzerland : European Mathematical Society, 2014.Description: ix, 276 p. ; 24 cmISBN: - 9783037191330
- 519.23 23 B341
| Item type | Current library | Call number | Status | Date due | Barcode | Item holds | |
|---|---|---|---|---|---|---|---|
| Books | ISI Library, Kolkata | 519.23 B341 (Browse shelf(Opens below)) | Available | 136311 |
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| 519.23 B297 Introduction to stochastic process/ | 519.23 B317 Stochastic processes | 519.23 B327 Introduction to stochastic process | 519.23 B341 Diffusion processes and stochastic calculus / | 519.23 B397 stochastic processes and their applications | 519.23 B422 Stochastic processes and their applications | 519.23 B454 Introduction to stochastic orders / |
Includes bibliographical references (pages 269-273) and index.
Introduction--
1. Stochastic processes --
2. Brownian motion --
3. Markov processes --
4. Symmetric diffusion semigroups --
5. Ito calculus --
6. Stochastic differential equation and Malliavin calculus --
7. An introduction to Lyons' rough paths theory --
Appendix A. Unboounded operators --
Appendix B. Regularity theory--
References--
Index.
The main purpose of the book is to present, at a graduate level and in a self-contained way, the most important aspects of the theory of continuous stochastic processes in continuous time and to introduce some of its ramifications such as the theory of semigroups, the Malliavin calculus, and the Lyons' rough paths. This book is intended for students, or even researchers, who wish to learn the basics in a concise but complete and rigorous manner. Several exercises are distributed throughout the text to test the understanding of the reader and each chapter ends with bibliographic comments aimed at those interested in exploring the materials further.
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