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Malliavin随机变分引论

方诗赞 清华大学出版社
出版时间:

2005-1  

出版社:

清华大学出版社  

作者:

方诗赞  

页数:

153  

Tag标签:

无  

内容概要

Something about the author Dr. Shizan Fang(bom in 1963 ). Professor of University of Burgundy(Dijon. FranceS, obtained his PhD degree at University of Paris VI in February 1990 and then worked there as "maitre de Conferences" during 1990-1996. His main interests of research are in the field of "Analysis. Geometry and Probability". He has published some first rate results on the subjects "Geometric Analysis on the Wiener Space". "Geometric Stochastic Analysis on Riemannian Path Spaces and Loop Groups". "Stochastic Differential Equations and Flow of Homeomorphism". Abstract of the book Malliavin Calculus is the theory of infinite dimensional differential calculus, which is suitable for functionals involved in diffusion theory, stochastic control, financial market models, etc. It also provides infinite dimensional examples in Dirichlet forms theory, in Functional Inequalities Analysis, etc. The main purpose of this book is to give a foundation of Malliavin Calculus, as well as some insights toward further researches in the field of path and loop spaces.

书籍目录

1 Brownian motions and Wiener spaces 1.1 Gaussian family 1.2 Brownian motion 1.3 Classical Wiener spaces 1.4 Abstract Wiener spaces2 Quasi?invariance of the Wiener measure 2.1 Convergence theorem for L2?martingales 2.2 Cameron?Martin theorem 2.3 Girsanov theorem3 Sobolev spaces over the Wiener space 3.1 Definitions and examples 3.2 Integration by parts 3.3 Sobolev spaces Dp1(W) 3.4 High order Sobolev spaces4 Ornstein?Uhlenbeck operator 4.1 Definitions 4.2 The spectrum of L 4.3 Vector valued Ornstein?Uhlenbeck operator5 Existence of divergence: L2?case 5.1 Energy identity 5.2 Weitzenb?ck formula 5.3 Γ2 criterion6 Ornstein?Uhlenbeck semi?group 6.1 Mehler formula 6.2 Hypercontractivity of Pt 6.3 Some other properties of Pt7 Riesz transform on the Wiener space 7.1 Hilbert transform on the circle S1 7.2 Riesz transform on the Wiener space 7.3 Meyer inequalities8 Existence of divergence: Lp?case 8.1 Meyer multipliers 8.2 Commutation formulae 8.3 Smoothness for δ(Z)9 Malliavin?s density theorem 9.1 Non\|degenerated functionals 9.2 Examples10 Tangent processes and its applications 10.1 Tangent processes 10.2 Path space over a compact Lie group 10.3 Path space over a unimodular Lie groupAppendix: Stochastic differential equationsGeneral notationNotes and CommentsBibliographyIndex


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推荐给数学研究生和作几何分析的工作者


没有太专业,太严谨的交代,但还是突出了随机分析直观的思想,适合初学者。


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