Stochastic Analysis by Paul Malliavin
English | PDF | 1997 | 344 Pages | ISBN : 364215073X | 20 MB
This book accounts in 5 independent parts, recent main developments of Stochastic Analysis: Gross-Stroock Sobolev space over a Gaussian probability space; quasi-sure analysis; anticipate stochastic integrals as divergence operators; principle of transfer from ordinary differential equations to stochastic differential equations; Malliavin calculus and elliptic estimates; stochastic Analysis in infinite dimension.