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An Introduction to Infinite-Dimensional Analysis (Universitext)

Giuseppe Da Prato




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 |  Da Prato Giuseppe |  2014-11-29 |  2014-11-30 | Original language:English | PDF # 1 |  9.25 x.51 x6.10l,.70 | File type: PDF | 208 pages

 | An Introduction to Infinite Dimensional Analysis Universitext

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Based on well-known lectures given at Scuola Normale Superiore in Pisa, this book introduces analysis in a separable Hilbert space of infinite dimension. It starts from the definition of Gaussian measures in Hilbert spaces, concepts such as the Cameron-Martin formula, Brownian motion and Wiener integral are introduced in a simple way. These concepts are then used to illustrate basic stochastic dynamical systems and Markov semi-groups, paying attention to their long-ti...

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