Stochastic Integrals [electronic resource] : Proceedings of the LMS Durham Symposium, July 7 – 17, 1980 / edited by David Williams.
Material type: TextSeries: Lecture Notes in Mathematics ; 851Publisher: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 1981Description: XII, 544 p. online resourceContent type:- text
- computer
- online resource
- 9783540386131
- 519.2 23
- QA273.A1-274.9
- QA274-274.9
“To begin at the beginning: …” -- Stochastic integrals: Basic theory -- Stochastic integration and discontinuous martingales -- Martingales, the Malliavin calculus and Hörmander's theorem -- On a representation of local martingale additive functionals of symmetric diffusions -- Set-parametered martingales and multiple stochastic integration -- Generalized ornstein — Uhlenbeck processes as limits of interacting systems -- Weak and strong solutions of stochastic differential equations: Existence and stability -- On the decomposition of solutions of stochastic differential equations -- A differential geometric formalism for the ito calculus -- Homogenization and stochastic parallel displacement -- Bessel processes and infinitely divisible laws -- Euclidean quantum mechanics and stochastic integrals -- The malliavin calculus and its applications -- The probability functionals (Onsager-machlup functions) of diffusion processes -- Ito and girsanov formulae for two parameter processes -- Lp-inequalities for two-parameter martingales -- Dirichlet processes -- Brownian motion, negative curvature, and harmonic maps -- Local behaviour of hilbert space valued stochastic integrals and the continuity of mild solutions of stochastic evolution equations -- Some markov processes and markov fields in quantum theory, group theory, hydrodynamics and C*-algebras.
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