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Elements of stochastic calculus and analysis
- 作者： Stroock, Daniel W., author.
- 其他作者：
- 其他題名：
- CRM short courses.
- 出版： Cham : Springer International Publishing :Imprint: Springer
- 叢書名： CRM short courses,
- 主題： Stochastic analysis. , Mathematics. , Probability Theory and Stochastic Processes.
- ISBN： 9783319770383 (electronic bk.) 、 9783319770376 (paper)
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FIND@SFXID:
CGU
- 資料類型: 電子書
- 摘要註: 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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讀者標籤：
- 系統號： 005427306 | 機讀編目格式
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