| Titre : |
Transformation of measure on wiener space |
| Type de document : |
texte imprimé |
| Auteurs : |
Ali suleyman Ustunel, Auteur ; Moshe Zakai, Auteur |
| Editeur : |
Berlin ; London ; Cham : Springer |
| Année de publication : |
2000 |
| Collection : |
Springer Monographs in Mathematics |
| Importance : |
XIII-296 p. |
| Format : |
25 cm |
| ISBN/ISSN/EAN : |
978-3-540-66455-0 |
| Note générale : |
Bibliogr. Index |
| Langues : |
Français (fre) |
| Mots-clés : |
Stochastic analysis
Malliavin calculus
Malliavin, Calcul de
Analyse stochastique |
| Index. décimale : |
519.21 Théorie des probabilités.Processus stochastiques |
| Résumé : |
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 |
| Note de contenu : |
1. Some Background Material and Preliminary Results.
2. Transformation of Measure Induced by Adapted Shifts
3. Transformation of Measure Induced by General Shifts
4. The Sard Inequality
5. Transformation of Measure Under Anticipative Flows
6. Monotone Shifts
7. Generalized Radon-Nikodym Derivatives
8. Random Rotations
9. The Degree Theorem on Wiener Space |
Transformation of measure on wiener space [texte imprimé] / Ali suleyman Ustunel, Auteur ; Moshe Zakai, Auteur . - Berlin ; London ; Cham : Springer, 2000 . - XIII-296 p. ; 25 cm. - ( Springer Monographs in Mathematics) . ISBN : 978-3-540-66455-0 Bibliogr. Index Langues : Français ( fre)
| Mots-clés : |
Stochastic analysis
Malliavin calculus
Malliavin, Calcul de
Analyse stochastique |
| Index. décimale : |
519.21 Théorie des probabilités.Processus stochastiques |
| Résumé : |
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 |
| Note de contenu : |
1. Some Background Material and Preliminary Results.
2. Transformation of Measure Induced by Adapted Shifts
3. Transformation of Measure Induced by General Shifts
4. The Sard Inequality
5. Transformation of Measure Under Anticipative Flows
6. Monotone Shifts
7. Generalized Radon-Nikodym Derivatives
8. Random Rotations
9. The Degree Theorem on Wiener Space |
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