Lectures on Stochastic Differential Equations and Malliavin Calculus
by S. Watanabe
Publisher: Tata Institute of Fundamental Research 1984
ISBN/ASIN: 3540128972
ISBN-13: 9783540128977
Number of pages: 113
Description:
The author's main purpose in these lectures was to study solutions of stochastic differential equations as Wiener functionals and apply to them some infinite dimensional functional analysis. This idea was due to P. Malliavin.
Download or read it online for free here:
Download link
(470KB, PDF)
Similar books
![Book cover: Stochastic Analysis - Notes](images/3167.jpg)
by I. F. Wilde
A gentle introduction to the mathematics of Stochastic Analysis. From the table of contents: Introduction; Conditional expectation; Martingales; Stochastic integration - informally; Wiener process; Ito's formula; Bibliography.
(15216 views)
![Book cover: Lectures on Singular Stochastic PDEs](images/10396.jpg)
by M. Gubinelli, N. Perkowski - arXiv
The aim is to introduce the basic problems of non-linear PDEs with stochastic and irregular terms. We explain how it is possible to handle them using two main techniques: the notion of energy solutions and that of paracontrolled distributions.
(6637 views)
![Book cover: Introduction to Stochastic Processes](images/10097.jpg)
by Gordan Žitković - The University of Texas at Austin
Contents: Probability review; Mathematica in 15 minutes; Stochastic Processes; Simple random walk; Generating functions; Random walks - advanced methods; Branching processes; Markov Chains; The 'Stochastics' package; Classification of States; etc.
(7925 views)
![Book cover: Lectures on Topics in Stochastic Differential Equations](images/7645.jpg)
by Daniel W. Stroock - Tata Institute of Fundamental Research
The author's purpose in these lectures was to provide some insight into the properties of solutions to stochastic differential equations. In order to read these notes, one need only know the basic Ito theory of stochastic integrals.
(9974 views)