Stochastic Analysis

Name: Stochastic Analysis
Author: Ichiro Shigekawa

Ichiro Shigekawa

American Mathematical Society

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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.

Výběr knih vydavatele American Mathematical Society