Elements of stochastic calculus and analysis

DOI10.1007/978-3-319-77038-3MaRDI QIDQ1709452zbMATH OpenOpenAlexFDO

Authors Daniel W. Stroock

Publication date 5 April 2018

Published in CRM Short Courses (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-77038-3

zbMATH Keywords

Feynman-Kac formulaCameron-Martin-Girsanov formulaKolmogorov's equationsStratonovich integrationItô's integrals

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Brownian motion (60J65) Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01)

Recommendations

• Introduction to stochastic analysis and Malliavin calculus
• Introduction to stochastic analysis and Malliavin calculus
• Stochastic calculus. An introduction through theory and exercises
• Stochastic analysis. Itô and Malliavin calculus in tandem
• Malliavin Calculus with Applications to Stochastic Partial Differential Equations

Cited in

(11)

• Elements of stochastic analysis for the case of Grassmann variables. I: Grassmann stochastic integrals and random processes
• scientific article; zbMATH DE number 3978066 (Why is no real title available?)
• Geodesic random walks, diffusion processes and Brownian motion on Finsler manifolds
• A Koopman framework for rare event simulation in stochastic differential equations
• Markov Processes from K. Ito's Perspective (AM-155)
• scientific article; zbMATH DE number 51563 (Why is no real title available?)
• Universality: random matrices, random geometry and SPDEs. Abstracts from the workshop held May 29 -- June 4, 2022
• scientific article; zbMATH DE number 5554638 (Why is no real title available?)
• scientific article; zbMATH DE number 3858052 (Why is no real title available?)
• scientific article; zbMATH DE number 1536105 (Why is no real title available?)
• Complex stochastic analysis in several parameters and applications

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