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
Introduction to Stochastic Processesby Gordan Žitković - The University of Texas at Austin
Contents: Probability review; Mathematica in 15 minutes; Stochastic Processes; Simple random walk; Generating functions; Random walks - advanced methods; Branching processes; Markov Chains; The 'Stochastics' package; Classification of States; etc.
(4001 views)
Lectures on Topics in Stochastic Differential Equationsby Daniel W. Stroock - Tata Institute of Fundamental Research
The author's purpose in these lectures was to provide some insight into the properties of solutions to stochastic differential equations. In order to read these notes, one need only know the basic Ito theory of stochastic integrals.
(5478 views)
Nonlinear Parameter Estimation: An Integrated System in Basicby 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.
(9685 views)
Markov Chains and Stochastic Stabilityby 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.
(16709 views)