Elements of stochastic calculus and analysis

DOI10.1007/978-3-319-77038-3zbMath1428.60001OpenAlexW2799879140MaRDI QIDQ1709452

Daniel W. Stroock

Publication date: 5 April 2018

Published in: CRM Short Courses (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-77038-3

zbMATH Keywords

Feynman-Kac formulaCameron-Martin-Girsanov formulaKolmogorov's equationsStratonovich integrationItô's integrals

Mathematics Subject Classification ID

Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

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