**Lectures on Stochastic Differential Equations and Malliavin Calculus**

by S. Watanabe

**Publisher**: Tata Institute of Fundamental Research 1984**ISBN/ASIN**: 3540128972**ISBN-13**: 9783540128977**Number of pages**: 113

**Description**:

The author's main purpose in these lectures was to study solutions of stochastic differential equations as Wiener functionals and apply to them some infinite dimensional functional analysis. This idea was due to P. Malliavin.

Download or read it online for free here:

**Download link**

(470KB, PDF)

## Similar books

**Markov Chains and Stochastic Stability**

by

**S.P. Meyn, R.L. Tweedie**-

**Springer**

The book on the theory of general state space Markov chains, and its application to time series analysis, operations research and systems and control theory. An advanced graduate text and a monograph treating the stability of Markov chains.

(

**18390**views)

**Nonlinear Parameter Estimation: An Integrated System in Basic**

by

**John C. Nash**-

**Marcel Dekker Inc**

This book and software collection is intended to help scientists, engineers and statisticians in their work. We have collected various software tools for nonlinear parameter estimation, along with representative example problems.

(

**11301**views)

**Stochastic Processes**

by

**Leif Mejlbro**-

**BookBoon**

In this book you will find the basic stochastic processes mathematics that is needed by engineers and university students. Topics such as elementary probability calculus, density functions and stochastic processes are illustrated.

(

**6708**views)

**Stochastic Analysis - Notes**

by

**I. F. Wilde**

A gentle introduction to the mathematics of Stochastic Analysis. From the table of contents: Introduction; Conditional expectation; Martingales; Stochastic integration - informally; Wiener process; Ito's formula; Bibliography.

(

**11853**views)