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The book offers a unique approach to stochastic analysis by focusing on the foundational concepts rather than just definitions and theorems. It covers traditional material alongside less commonly addressed topics, such as Wiener's homogeneous chaos theory and a novel take on Stratonovich integration, which is used to derive Wong and Zakai's theorem. Additionally, it explores applications of Malliavin's calculus to partial differential equations. Each chapter includes challenging exercises, making it suitable for advanced graduate students and research mathematicians looking to deepen their knowledge.
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Elements of Stochastic Calculus and Analysis, Daniel W. Stroock
- Language
- Released
- 2019
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- (Paperback)
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- Title
- Elements of Stochastic Calculus and Analysis
- Language
- English
- Authors
- Daniel W. Stroock
- Publisher
- Springer International Publishing
- Released
- 2019
- Format
- Paperback
- Pages
- 220
- ISBN13
- 9783030083540
- Category
- Mathematics
- Description
- The book offers a unique approach to stochastic analysis by focusing on the foundational concepts rather than just definitions and theorems. It covers traditional material alongside less commonly addressed topics, such as Wiener's homogeneous chaos theory and a novel take on Stratonovich integration, which is used to derive Wong and Zakai's theorem. Additionally, it explores applications of Malliavin's calculus to partial differential equations. Each chapter includes challenging exercises, making it suitable for advanced graduate students and research mathematicians looking to deepen their knowledge.