TY  - BOOK
AU  - Baudoin,Fabrice
TI  - Diffusion processes and stochastic calculus
T2  - EMS textbooks in mathematics
SN  - 9783037191330
U1  - 519.23 23
PY  - 2014///
CY  - Switzerland :  
PB  - European Mathematical Society,   
KW  - Stochastic processes
N1  - 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
N2  - 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
ER  -