Stochastic Analysis and Related Topics

Proceedings of a Workshop held in Silivri, Turkey, July 7-9, 1986
Softcover Nachdruck of the original 1. Auflage 1988
ISBN: 978-3-540-19315-9
Verlag: Springer Berlin Heidelberg

Buch, Englisch, Band 1316, 371 Seiten, Format (B × H): 155 mm x 235 mm, Gewicht: 569 g

Reihe: Lecture Notes in Mathematics

The Silvri Workshop was divided into a short summer school and a working conference, producing lectures and research papers on recent developments in stochastic analysis on Wiener space. The topics treated in the lectures relate to the Malliavin calculus, the Skorohod integral and nonlinear functionals of white noise. Most of the research papers are applications of these subjects. This volume addresses researchers and graduate students in stochastic processes and theoretical physics.

Zielgruppe

Research

Autoren/Hrsg.

Ustunel, Ali S.

Korezlioglu, Hayri

Fachgebiete

• Mathematik | Informatik Mathematik Mathematische Analysis Reelle Analysis
• Mathematik | Informatik Mathematik Stochastik Stochastische Prozesse
• Mathematik | Informatik Mathematik Stochastik Mathematische Statistik
• Naturwissenschaften Biowissenschaften Angewandte Biologie Biomathematik
• Technische Wissenschaften Technik Allgemein Mathematik für Ingenieure
• Mathematik | Informatik Mathematik Stochastik Wahrscheinlichkeitsrechnung

Inhaltsverzeichnis

A guide to the stochastic calculus of variations.- Nonclausal stochastic integrals and calculus.- Brownian motion, diffusions and infinite dimensional calculus.- La théorie des distributions en dimension quelconque et l'intégration stochastique.- An ito formula for processes with values in an abstract Wiener space.- Some comments on the filtering of diffusions and the malliavin calculus.- Approximation of stochastic differential equations and application of the stochastic calculus of variations to the rate of convergence.- Brownian motion and harmonic forms.- An extension of ventsel-freidlin estimates.- Uniqueness of the solutions of the filtering equation with observations on a riemannian symmetric space.- Majoration a priori des solutions d'équations différentielles stochastiques stables.- A filtering formula for a non-linear system having a continuous observation, and a discrete observation at random times.