Stochastic Analysis 0821826263, 9780821826263

Stochastic analysis is often understood as the analysis of functionals defined on the Wiener space, i.e., the space on w

524 93 1MB

English, Japanese Pages 182 [198] Year 2004

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Stochastic Analysis
0821826263, 9780821826263

Author / Uploaded
Ichiro Shigekawa

Table of contents :
Content: 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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