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An Introduction to Analysis on Wiener Space (Lecture Notes in Mathematics)
Rok: 1995
ISBN: 9783540601708
OKCZID: 110214030
Citace (dle ČSN ISO 690):
ÜSTÜNEL, Ali Süleyman. An introduction to analysis on Wiener space. Berlin: Springer, 1995. x, 93 s. Lecture notes in mathematics, 1610.
Anotace
This book gives the basis of the probabilistic functional analysis on Wiener space, developed during the last decade. The subject has progressed considerably in recent years through its links with QFT and the impact of Stochastic Calculus of Variations of P. Malliavin. Although the latter deals essentially with the regularity of the laws of random variables defined on the Wiener space, the book focuses on quite different subjects, i.e. independence, Ramer's theorem, etc. First year graduate level in functional analysis and theory of stochastic processes is required (stochastic integration with respect to Brownian motion, Ito formula etc). It can be taught as a 1-semester course as it is, or in 2 semesters adding preliminaries from the theory of stochastic processes It is a user-friendly introduction to Malliavin calculus!