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Elements of stochastic calculus and ...

Stroock, Daniel W.

Elements of stochastic calculus and analysis

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Elements of stochastic calculus and analysis/ by Daniel W. Stroock.
作者:	Stroock, Daniel W.
出版者:	Cham :Springer International Publishing : : 2018.,
面頁冊數:	xiv, 206 p. :ill., digital ; : 24 cm.;
Contained By:	Springer eBooks
標題:	Stochastic analysis. -
電子資源:	http://dx.doi.org/10.1007/978-3-319-77038-3
ISBN:	9783319770383

Elements of stochastic calculus and analysis
Stroock, Daniel W.

Elements of stochastic calculus and analysis[electronic resource] /by Daniel W. Stroock. - Cham :Springer International Publishing :2018. - xiv, 206 p. :ill., digital ;24 cm. - CRM short courses,2522-5200. - CRM short courses..

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.

ISBN: 9783319770383

Standard No.: 10.1007/978-3-319-77038-3doiSubjects--Topical Terms:

560202
Stochastic analysis.

LC Class. No.: QA274.2

Dewey Class. No.: 519.22

Elements of stochastic calculus and analysis
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245 1 0 $a Elements of stochastic calculus and analysis $h [electronic resource] / $c by Daniel W. Stroock.
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490 1 $a CRM short courses, $x 2522-5200
520 $a 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.
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950 $a Mathematics and Statistics (Springer-11649)

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