Introduction To Stochastic Analysis And Malliavin Calculus
- Editore:
Birkhauser Verlag Ag
- EAN:
9788876423130
- ISBN:
8876423133
- Pagine:
- 206
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Descrizione Introduction To Stochastic Analysis And Malliavin Calculus
Collects lecture notes from courses delivered at the Scuola Normale Superiore in Pisa, and also at the Trento and Funchal Universities. This book discusses Gaussian measure in a separable Hilbert space, the Malliavin derivative, the construction of the Brownian motion and Ito's formula. It deals with the differential stochastic equations also.
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