| Transformation of Measure on Wiener Space 2000 Edition Contributor(s): Üstünel, A. Süleyman (Author), Zakai, Moshe (Author) |
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ISBN: 3540664556 ISBN-13: 9783540664550 Publisher: Springer OUR PRICE: $52.24 Product Type: Hardcover - Other Formats Published: November 1999 Annotation: This book gives a systematic presentation of the main results on the transformation of measure induced by shift transformations on Wiener space. This topic has its origins in the work of Cameron and Martin (anticipative shifts, 1940's) and that of Girsanov (non-anticipative shifts, 1960's). It played an important role in the development of non-anticipative stochastic calculus and itself developed under the impulse of the stochastic calculus of variations. Basic probability theory and the Ito calculus are assumed known; the necessary results from the Malliavin calculus are presented in the appendix. Aimed at graduate students and researchers, it can be used as a text for a course or a se- minar. |
| Additional Information |
| BISAC Categories: - Mathematics | Probability & Statistics - General - Mathematics | Mathematical Analysis - Mathematics | Functional Analysis |
| Dewey: 515.42 |
| LCCN: 99051456 |
| Series: Springer Monographs in Mathematics |
| Physical Information: 0.75" H x 6.14" W x 9.21" (1.38 lbs) 298 pages |
| Descriptions, Reviews, Etc. |
| Publisher Description: This unique book on the subject addresses fundamental problems and will be the standard reference for a long time to come. The authors have different scientific origins and combine these successfully, creating a text aimed at graduate students and researchers that can be used for courses and seminars. |