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 Analysis - NotesStochastic Analysis - Notes
by
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.
(9606 views)
Book cover: Reversibility and Stochastic NetworksReversibility and Stochastic Networks
by - John Wiley and Sons Ltd
The book on vector stochastic processes in equilibrium or stochastic networks, with wide range of applications. It covers the concept of reversibility, the output from a queue, and the epolymerization process quilibrium distribution.
(11030 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.
(1731 views)
Book cover: Stochastic ProcessesStochastic Processes
by - 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.
(4668 views)