Introduction to Stochastic Analysis and Malliavin Calculus (Publications of the Scuola Normale Superiore, 13, Band 13) - Softcover
Inhaltsangabe
This book introduces differential stochastic equations and Malliavin calculus. The revised and expanded third edition offers corrections and improvements and a new section covering the differentiability of the Feynman-Kac semigroup.
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Über die Autorin bzw. den Autor
GIUSEPPE DA PRATO was born in La Spezia in 1936. Having graduated in Physics in 1960 from the University of Rome, he became full professor of Mathematics in 1968 and taught in Rome and in Trento. Since 1979 he has been Professor of Mathematical Analysis at the Scuola Normale Superiore di Pisa. The scientific activity of Giuseppe Da Prato concerns infinite-dimensional analysis and partial differential stochastic equations (existence, uniqueness, invariant measures, ergodicity), with applications to optimal stochastic control. Giuseppe Da Prato is the author of 5 other books, some co-authored with other international specialists, on control theory, stochastic differential equations and infinite dimensional Kolmogorov equations, and of more than 250 papers in international scientific journals.
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Introduction to Stochastic Analysis and Malliavin Calculus
Verlag:
Edizioni Della Normale Apr 2014, 2014
ISBN 10: 8876424970
ISBN 13: 9788876424977
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Taschenbuch. Zustand: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -This volume presents an introductory course on differential stochastic equations and Malliavin calculus. The material of the book has grown out of a series of courses delivered at the Scuola Normale Superiore di Pisa (and also at the Trento and Funchal Universities) and has been refined over several years of teaching experience in the subject. The lectures are addressed to a reader who is familiar with basic notions of measure theory and functional analysis. The first part is devoted to the Gaussian measure in a separable Hilbert space, the Malliavin derivative, the construction of the Brownian motion and Itô's formula. The second part deals with differential stochastic equations and their connection with parabolic problems. The third part provides an introduction to the Malliavin calculus. Several applications are given, notably the Feynman-Kac, Girsanov and Clark-Ocone formulae, the Krylov-Bogoliubov and Von Neumann theorems. In this third edition several small improvements are added and a new section devoted to the differentiability of the Feynman-Kac semigroup is introduced. A considerable number of corrections and improvements have been made. 300 pp. Englisch. Bestandsnummer des Verkäufers 9788876424977
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Zustand: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Based on several years teaching experienceRevised edition of two previous publicationsIncludes several applicationsThis volume presents an introductory course on differential stochastic equations and Malliavin calculus. The mate. Bestandsnummer des Verkäufers 385949392
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Introduction to Stochastic Analysis and Malliavin Calculus
Verlag:
Edizioni Della Normale Apr 2014, 2014
ISBN 10: 8876424970
ISBN 13: 9788876424977
Neu
Taschenbuch
Anbieter: buchversandmimpf2000, Emtmannsberg, BAYE, Deutschland
Verkäuferbewertung 5 von 5 Sternen
Taschenbuch. Zustand: Neu. This item is printed on demand - Print on Demand Titel. Neuware -This volume presents an introductory course on differential stochastic equations and Malliavin calculus. The material of the book has grown out of a series of courses delivered at the Scuola Normale Superiore di Pisa (and also at the Trento and Funchal Universities) and has been refined over several years of teaching experience in the subject. The lectures are addressed to a reader who is familiar with basic notions of measure theory and functional analysis. The first part is devoted to the Gaussian measure in a separable Hilbert space, the Malliavin derivative, the construction of the Brownian motion and Itô's formula. The second part deals with differential stochastic equations and their connection with parabolic problems. The third part provides an introduction to the Malliavin calculus. Several applications are given, notably the Feynman-Kac, Girsanov and Clark-Ocone formulae, the Krylov-Bogoliubov and Von Neumann theorems. In this third edition several small improvements are added and a new section devoted to the differentiability of the Feynman-Kac semigroup is introduced. A considerable number of corrections and improvements have been made.Müller - lila Logistik, Am Buchberg 8, 74572 Blaufelden 300 pp. Englisch. Bestandsnummer des Verkäufers 9788876424977
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Taschenbuch. Zustand: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - This volume presents an introductory course on differential stochastic equations and Malliavin calculus. The material of the book has grown out of a series of courses delivered at the Scuola Normale Superiore di Pisa (and also at the Trento and Funchal Universities) and has been refined over several years of teaching experience in the subject. The lectures are addressed to a reader who is familiar with basic notions of measure theory and functional analysis. The first part is devoted to the Gaussian measure in a separable Hilbert space, the Malliavin derivative, the construction of the Brownian motion and Itô's formula. The second part deals with differential stochastic equations and their connection with parabolic problems. The third part provides an introduction to the Malliavin calculus. Several applications are given, notably the Feynman-Kac, Girsanov and Clark-Ocone formulae, the Krylov-Bogoliubov and Von Neumann theorems. In this third edition several small improvements are added and a new section devoted to the differentiability of the Feynman-Kac semigroup is introduced. A considerable number of corrections and improvements have been made. Bestandsnummer des Verkäufers 9788876424977
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Taschenbuch. Zustand: Neu. Introduction to Stochastic Analysis and Malliavin Calculus | Giuseppe Da Prato | Taschenbuch | Publications of the Scuola Normale Superiore | xvii | Englisch | 2014 | Edizioni della Normale | EAN 9788876424977 | Verantwortliche Person für die EU: Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg, juergen[dot]hartmann[at]springer[dot]com | Anbieter: preigu. Bestandsnummer des Verkäufers 105413072
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