Introduction to Stochastic Analysis and Malliavin Calculus
Resource Information
The work Introduction to Stochastic Analysis and Malliavin Calculus represents a distinct intellectual or artistic creation found in Boston University Libraries. This resource is a combination of several types including: Work, Language Material, Books.
The Resource
Introduction to Stochastic Analysis and Malliavin Calculus
Resource Information
The work Introduction to Stochastic Analysis and Malliavin Calculus represents a distinct intellectual or artistic creation found in Boston University Libraries. This resource is a combination of several types including: Work, Language Material, Books.
 Label
 Introduction to Stochastic Analysis and Malliavin Calculus
 Statement of responsibility
 by Giuseppe Prato
 Language
 eng
 Summary
 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 FeynmanKac, Girsanov and ClarkOcone formulae, the KrylovBogoliubov and Von Neumann theorems. In this third edition several small improvements are added and a new section devoted to the differentiability of the FeynmanKac semigroup is introduced. A considerable number of corrections and improvements have been made
 Image bit depth
 0
 LC call number

 QA273.A1274.9
 QA274274.9
 Literary form
 non fiction
 Series statement
 Publications of the Scuola Normale Superiore
 Series volume
 13
Context
Context of Introduction to Stochastic Analysis and Malliavin CalculusEmbed (Experimental)
Settings
Select options that apply then copy and paste the RDF/HTML data fragment to include in your application
Embed this data in a secure (HTTPS) page:
Layout options:
Include data citation:
<div class="citation" vocab="http://schema.org/"><i class="fa faexternallinksquare fafw"></i> Data from <span resource="http://link.bu.edu/resource/ndj1y8rzZaI/" typeof="CreativeWork http://bibfra.me/vocab/lite/Work"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.bu.edu/resource/ndj1y8rzZaI/">Introduction to Stochastic Analysis and Malliavin Calculus</a></span>  <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.bu.edu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.bu.edu/">Boston University Libraries</a></span></span></span></span></div>
Note: Adjust the width and height settings defined in the RDF/HTML code fragment to best match your requirements
Preview
Cite Data  Experimental
Data Citation of the Work Introduction to Stochastic Analysis and Malliavin Calculus
Copy and paste the following RDF/HTML data fragment to cite this resource
<div class="citation" vocab="http://schema.org/"><i class="fa faexternallinksquare fafw"></i> Data from <span resource="http://link.bu.edu/resource/ndj1y8rzZaI/" typeof="CreativeWork http://bibfra.me/vocab/lite/Work"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.bu.edu/resource/ndj1y8rzZaI/">Introduction to Stochastic Analysis and Malliavin Calculus</a></span>  <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.bu.edu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.bu.edu/">Boston University Libraries</a></span></span></span></span></div>