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Elements of Stochastic Calculus and Analysis - pr_144541

Elements of Stochastic Calculus and Analysis

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This book gives a somewhat unconventional introduction to stochastic analysis. Although most of the material coveredhere has appeared in other places, this book attempts to explain the core ideas on which that material is based. As a consequence, the presentation is more an extended mathematical essay than a ``definition,lemma, theorem'' text. In addition, it includes several topics that are not usually treated elsewhere. For example,Wiener's theory of homogeneous chaos is discussed, Stratovich integration is given a novel development and applied to derive Wong and Zakai's approximation theorem, and examples are given of the application ofMalliavin's calculus to partial differential equations. Each chapter concludes with several exercises, some of which are quite challenging. The book is intended for use by advanced graduate students and researchmathematicians who may be familiar with many of the topics but want to broaden their understanding of them.

Product code: 9783319770376

ISBN 9783319770376
Dimensions (HxWxD in mm) H235xW155
Series CRM Short Courses
No. Of Pages 206
Publisher Springer International Publishing AG
Edition 1st ed. 2018
This book gives a somewhat unconventional introduction to stochastic analysis.