Logo

Lectures on Stochastic Differential Equations and Malliavin Calculus

Small book cover: Lectures on Stochastic Differential Equations and Malliavin Calculus

Lectures on Stochastic Differential Equations and Malliavin Calculus
by

Publisher: Tata Institute of Fundamental Research
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

Book cover: Stochastic Differential Equations: Models and NumericsStochastic Differential Equations: Models and Numerics
by - KTH
The goal of this course is to give useful understanding for solving problems formulated by stochastic differential equations models in science, engineering and finance. Typically, these problems require numerical methods to obtain a solution.
(2568 views)
Book cover: Probability Theory and Stochastic Processes with ApplicationsProbability Theory and Stochastic Processes with Applications
by - Overseas Press
This text covers material of a basic probability course, discrete stochastic processes including Martingale theory, continuous time stochastic processes like Brownian motion and stochastic differential equations, estimation theory, and more.
(6003 views)
Book cover: Nonlinear Parameter Estimation: An Integrated System in BasicNonlinear Parameter Estimation: An Integrated System in Basic
by - 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.
(8602 views)
Book cover: Lectures on Singular Stochastic PDEsLectures on Singular Stochastic PDEs
by - arXiv
The aim is to introduce the basic problems of non-linear PDEs with stochastic and irregular terms. We explain how it is possible to handle them using two main techniques: the notion of energy solutions and that of paracontrolled distributions.
(1621 views)