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: Lectures on Singular Stochastic PDEsLectures on Singular Stochastic PDEs
by - 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.
(2249 views)
Book cover: Synchronization and Linearity: An Algebra for Discrete Event SystemsSynchronization and Linearity: An Algebra for Discrete Event Systems
by - John Wiley & Sons
Presents new modelling and analysis techniques for the description of discrete event dynamic systems. Created within the text is a calculus which allows the derivation of analytical tools for computing the time behavior of this type of system.
(7983 views)
Book cover: Stochastic Differential Equations: Models and NumericsStochastic Differential Equations: Models and Numerics
by - KTH
The goal of this course is to give useful understanding for solving problems formulated by stochastic differential equations models in science, engineering and finance. Typically, these problems require numerical methods to obtain a solution.
(3189 views)
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.
(10781 views)