Portada

Elements of Stochastic Calculus and Analysis

SPRINGER
05 / 2018
9783319770376
Inglés
CRM Short Courses
Ingles

Sinopse

This book gives a somewhat unconventional introduction tonbsp;nbsp;stochastic analysis.nbsp; Although most of the material coveredhere has appeared in other places, this book attempts to explain thenbsp;core ideas on which that material is based.nbsp; As a consequence, thenbsp;presentation is more an extended mathematical essay than a ``definition,lemma, theorem'' text.nbsp; In addition, it includesnbsp;several topics that are not usually treated elsewhere.nbsp; For example,Wiener's theory of homogeneous chaos is discussed, Stratovich integrationnbsp;is given a novel development and applied to derive Wong and Zakai'snbsp;approximation theorem, and examples are given of the application ofMalliavin's calculus to partial differential equations.nbsp; Each chapternbsp;concludes with several exercises, some of which are quite challenging.nbsp; Thenbsp;book is intended for use by advanced graduate students and researchmathematicians who may be familiar with many of the topics but want tonbsp;broaden their understanding of them.

PVP
59,27