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portada Elements of Stochastic Calculus and Analysis (Crm Short Courses)
Type
Physical Book
Publisher
Year
2018
Language
English
Pages
206
Format
Hardcover
ISBN13
9783319770376
Edition No.
1

Elements of Stochastic Calculus and Analysis (Crm Short Courses)

Daniel W. Stroock (Author) · Springer · Hardcover

Elements of Stochastic Calculus and Analysis (Crm Short Courses) - Daniel W. Stroock

Physical Book

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Synopsis "Elements of Stochastic Calculus and Analysis (Crm Short Courses)"

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.

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