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
Synchronization and Linearity: An Algebra for Discrete Event Systemsby F. Baccelli, G. Cohen, G. J. Olsder, J. Quadrat - John Wiley & Sons
Presents new modelling and analysis techniques for the description of discrete event dynamic systems. Created within the text is a calculus which allows the derivation of analytical tools for computing the time behavior of this type of system.
(13603 views)
Lectures on Stochastic Processesby K. Ito - Tata Institute of Fundamental Research
The book discusses the elementary parts of Stochastic Processes from the view point of Markov Processes. Topics: Markov Processes; Srong Markov Processes; Multi-dimensional Brownian Motion; Additive Processes; Stochastic Differential Equations; etc.
(12163 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.
(14714 views)
Applied Stochastic Processes in Science and Engineeringby Matt Scott - University of Waterloo
This book is designed as an introduction to the ideas and methods used to formulate mathematical models of physical processes in terms of random functions. A senior undergraduate course offered to students with a suitably mathematical background.
(7955 views)