TY  - GEN
AU  - Prato,Giuseppe Da
TI  - Introduction to stochastic analysis and Malliavin calculus
SN  - 9788876424977
U1  - 519.23 23
PY  - 2014///
CY  - Pisa : 
PB  - Edizioni Della Normale
KW  - Stochastic differential equations.
KW  - Malliavin calculus
KW  - Stochastische analyse
N1  - 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
N2  - 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
ER  -