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Stochastic Analysis
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In 5 independent sections, this book accounts recent main developments of stochastic analysis: Gross-Stroock Sobolev space over a Gaussian probability space; quasi-sure analysis; anticipate stochastic integrals as divergence operators; principle of transfer from ordinary differential equations to stochastic differential equations; Malliavin calculus and elliptic estimates; stochastic Analysis in infinite dimension.
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Stochastic Analysis, Paul Malliavin
- Language
- Released
- 1998
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- Title
- Stochastic Analysis
- Language
- English
- Authors
- Paul Malliavin
- Publisher
- Springer
- Released
- 1998
- ISBN10
- 364215073X
- ISBN13
- 9783642150739
- Series
- Grundlehren der mathematischen Wissenschaften
- Category
- Mathematics
- Description
- In 5 independent sections, this book accounts recent main developments of stochastic analysis: Gross-Stroock Sobolev space over a Gaussian probability space; quasi-sure analysis; anticipate stochastic integrals as divergence operators; principle of transfer from ordinary differential equations to stochastic differential equations; Malliavin calculus and elliptic estimates; stochastic Analysis in infinite dimension.