Introduction to stochastic analysis and Malliavin calculus / Giuseppe Da Prato.
Publication details: Pisa : Edizioni Della Normale, 2014.Description: xvii, 279 pISBN:- 9788876424977
- 519.23 23 P912
Item type | Current library | Call number | Status | Date due | Barcode | Item holds | |
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Books | ISI Library, Kolkata | 519.23 P912 (Browse shelf(Opens below)) | Available | 136229 |
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Includes bibliographical references.
Introduction.-
1 Gaussian measures in Hilbert spaces.-
2 Gaussian random variables.-
3 The Malliavin derivative.-
4 Brownian Motion.-
5 Markov property of Brownian motion.-
6 Ito's integral.-
7 Ito's formula.-
8 Stochastic differential equations.-
9 Relationship between stochastic and parabolic equations.-
10 Formulae of Feynman-Kac and Girsanov.-
11 Malliavin calculus.-
12 Asymptotic behaviour of transition semigroups.-
A The Dynkin Theorem.-
B Conditional expectation.-
C Martingales.-
D Fixed points depending on parameters.-
E A basic ergodic theorem.-
References.
This book introduces differential stochastic equations and Malliavin calculus. The revised and expanded third edition offers corrections and improvements and a new section covering the differentiability of the Feynman-Kac semigroup.
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