Logo

Lectures on Stochastic Differential Equations and Malliavin Calculus

Small book cover: Lectures on Stochastic Differential Equations and Malliavin Calculus

Lectures on Stochastic Differential Equations and Malliavin Calculus
by

Publisher: Tata Institute of Fundamental Research
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 CalculusStochastic Calculus
by
An informal introduction to Stochastic Calculus, and especially to the Ito integral and some of its applications. The text concentrates on the parts of the course which the author found hard, there is little or no comment on more standard matters.
(10626 views)
Book cover: Lectures on Topics in Stochastic Differential EquationsLectures on Topics in Stochastic Differential Equations
by - 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.
(5106 views)
Book cover: Applied Stochastic Processes in Science and EngineeringApplied Stochastic Processes in Science and Engineering
by - University of Waterloo
This book is designed as an introduction to the ideas and methods used to formulate mathematical models of physical processes in terms of random functions. A senior undergraduate course offered to students with a suitably mathematical background.
(3297 views)
Book cover: Lectures on Stochastic ProcessesLectures on Stochastic Processes
by - Tata Institute of Fundamental Research
The book discusses the elementary parts of Stochastic Processes from the view point of Markov Processes. Topics: Markov Processes; Srong Markov Processes; Multi-dimensional Brownian Motion; Additive Processes; Stochastic Differential Equations; etc.
(7477 views)