Stochastic analysis
Auteur :
Shigekawa, Ichiro
Éditeur :
American Mathematical Society
ISBN :
9780821826263
Date de publication :
30 mai 2004
Poids :
241 g
Langue :
Anglais
Pays d'origine :
USA
Stochastic analysis is often understood as the analysis of functionals defined on the Wiener space - the space on which the Wiener process is realized. Since the Wiener space is infinite-dimensional, it requires a special calculus, the so-called Malliavin calculus. This book presents an introduction to the Malliavin calculus.