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.
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Titolo: Stochastic analysis
Autore:
Ichiro Shigekawa
Editore: American Mathematical Society
Data di Pubblicazione: 2004
Pagine: 200
Formato: 2
ISBN: 9780821826263