書誌事項

Stochastic analysis

Ichiro Shigekawa ; translated by Ichiro Shigekawa

(Translations of mathematical monographs, v. 224)(Iwanami series in modern mathematics)

American Mathematical Society, c2004

  • : pbk

タイトル別名

確率解析

Kakuritsu kaiseki

大学図書館所蔵 件 / 37

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注記

Originally published: Tokyo : Iwanami Shoten, 1998

Includes bibliographical references (p. 179-180) and index

内容説明・目次

内容説明

Stochastic analysis is often understood as the analysis of functionals defined on the Wiener space, i.e., 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 provides readers with a concise introduction to stochastic analysis, in particular, to the Malliavin calculus. It contains a detailed description of all the technical tools necessary to describe the theory, such as the Wiener process, the Ornstein-Uhlenbeck process, and Sobolev spaces. It also presents applications of stochastic calculus to the study of stochastic differential equations. The volume is suitable for graduate students and research mathematicians interested in probability and random processes.

目次

Wiener space Orenstein-Uhlenbeck process The Littlewood-Paley-Stein inequality Sobolev spaces on an abstrct Wiener space Absolute continuity of distributions and smoothness of density functions Application to stochastic differential equations Perspectives on current research Bibliography Index.

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詳細情報

  • NII書誌ID(NCID)
    BA67226499
  • ISBN
    • 0821826263
  • LCCN
    2004047722
  • 出版国コード
    us
  • タイトル言語コード
    eng
  • 本文言語コード
    eng
  • 原本言語コード
    jpn
  • 出版地
    Providence, R.I.
  • ページ数/冊数
    xii, 182 p.
  • 大きさ
    22 cm
  • 分類
  • 件名
  • 親書誌ID
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