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This volume offers an introductory course on differential stochastic equations and Malliavin calculus, based on lectures at Scuola Normale Superiore di Pisa and other universities. It covers Gaussian measures, Brownian motion, Itô's formula, and applications like the Feynman-Kac formula. The third edition includes improvements and a new section on the Feynman-Kac semigroup.
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Introduction to Stochastic Analysis and Malliavin Calculus, Giuseppe da Prato
- Language
- Released
- 2014
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- (Paperback)
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- Title
- Introduction to Stochastic Analysis and Malliavin Calculus
- Language
- English
- Authors
- Giuseppe da Prato
- Publisher
- Edizioni della Normale
- Released
- 2014
- Format
- Paperback
- ISBN13
- 9788876424977
- Category
- Uncategorised
- Description
- This volume offers an introductory course on differential stochastic equations and Malliavin calculus, based on lectures at Scuola Normale Superiore di Pisa and other universities. It covers Gaussian measures, Brownian motion, Itô's formula, and applications like the Feynman-Kac formula. The third edition includes improvements and a new section on the Feynman-Kac semigroup.