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1.1 Some concepts of Probability
1.1.1 Random variables
1.1.2 Product measures
1.2 Probability measures in Hilbert spaces
1.2.1 Mean and covariance
1.2.2 Finite dimensional projections of measures
1.3 Gaussian probability measures
1.3.1 Gaussian probability measures in R
1.3.2 Gaussian probability measures in Rn
1.3.3 Gaussian probability measures in H
1.3.4 Computation of some Gaussian integrals
1.3.5 The Cameron–Martin space
Gaussian random variables
2.1 Notations
2.2 Independence
2.2.1 Independent real variables
2.2.2 Independent Gaussian random variables
2.4.1 Equivalence classes of random variables
2.4.2 Deﬁnition of the white noise function
3.2.2 Some properties of a Brownian motion
3.3 Wiener integral
3.4 Continuity of Brownian motion
3.5 The standard Brownian motion
3.5.1 Some properties of C0
3.5.2 The Wiener measure and the standard Brownian
3.6 Quadratic variation of the Brownian mo-
3.7 Multidimensional Brownian motions
4.1 Filtration
4.1.1 Ft-measurable random variables
4.2 Stopping times
4.3 The Brownian motion W(t+τ)−W(τ)
4.4 Transition semigroup
4.5 Markov property
4.5.1 Strong Markov property
4.6 Some consequences of the strong Markov
4.7 Application to partial diﬀerential equa-
4.7.1 The Dirichlet problem in the half-line
4.7.2 The Neumann problem
4.7.3 The Ventzell problem
The Itˆo integral
5.1 Deﬁnition of Itˆo’s integral
5.1.1 Itˆo’s integral for elementary processes
5.1.2 General deﬁnition of Itˆo’s integral
5.2 Itˆo integral for mean square continuous
5.3 The Itˆo integral as a stochastic process
5.4 Itˆo integral with stopping times
5.4.1 Stopping times
5.4.2 Itˆo’s integral with stopping times
5.5 Multidimensional Itˆo integrals
The Itˆo formula
6.1 Introduction
6.1.1 The Itˆo formula for unbounded functions
6.2 Itˆo’ formula for a vector valued process
Stochastic evolution equations
7.1 Existence and uniqueness
7.1.2 Examples
7.1.3 Diﬀerential stochastic equations with random co-
7.2 Continuous dependence on data
7.2.1 Continuous dependence on mean square
7.4 Diﬀerentiability of X(t,s,x) with respect
7.4.1 Existence of Xx(t,s,x)
7.4.2 Existence of Xxx(t,s,x)
7.5 Itˆo Diﬀerentiability of X(t,s,x) with re-
7.5.1 The deterministic case
7.5.2 The stochastic case
7.5.3 Backward Itˆo’s formula
Kolmogorov equations
8.1 The deterministic case
8.1.1 The autonomous case
8.2 Stochastic case
8.3 Basic properties of transition operators
8.4 Parabolic equations
8.4.1 Autonomous case
8.5 Examples
λ-systems and π-systems
Conditional expectation
B.1 Deﬁnition
B.2 Basic properties
Martingales
C.1 Deﬁnitions
C.2 The basic inequality for martingales
C.3 Square integrable martingales
D.1 Introduction
D.2 Gˆateaux diﬀerentiable mappings
D.3 The main result
E.1 Fractional Sobolev spaces on [0,1]
E.2 Processes belonging to W ,2m
0 of .
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analisi stocastica

# analisi stocastica

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Published by: Francesco Cannarile on Nov 04, 2011

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12/10/2012

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