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Catalogue Information
Field name	Details
Dewey Class	519.2
Title	Elements of Stochastic Calculus and Analysis ([EBook]) / by Daniel W. Stroock.
Author	Stroock, Daniel W.
Other name(s)	SpringerLink (Online service)
Publication	Cham : : Springer International Publishing : : Imprint: Springer, , 2018.
Physical Details	XIV, 206 p. : online resource.
Series	CRM Short Courses 2522-5200
ISBN	9783319770383
Summary Note	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.:
Contents note	Preface -- 1. Kolmogorov's Equations -- 2. Itô's Approach -- 3. Brownian Stochastic Integration -- 4. Other Theories of Stochastic Integration -- 5. Addenda -- References -- Index. .
System details note	Online access to this digital book is restricted to subscription institutions through IP address (only for SISSA internal users)
Internet Site	http://dx.doi.org/10.1007/978-3-319-77038-3
Links to Related Works	Subject References: Mathematics . Probabilities . Probability theory and stochastic processes . Authors: Stroock, Daniel W. . Corporate Authors: SpringerLink (Online service) . Series: CRM Short Courses . Classification: 519.2 .

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Elements of Stochastic Calculus and Analysis

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