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Elements of Stochastic Calculus and Analysis
E-bok
Engelska, 2018797 kr
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Beskrivning
This book gives a somewhat unconventional introduction to stochastic analysis. Although most of the material covered
here 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 of
Malliavin''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 research
mathematicians who may be familiar with many of the topics but want to broaden their understanding of them.
