**Translations of Mathematical Monographs
Iwanami Series in Modern Mathematics**

2004; 182 pp; Softcover

MSC: Primary 60;

**Print ISBN: 978-0-8218-2626-3**

Product Code: MMONO/224

Product Code: MMONO/224

List Price: $52.00

Individual Member Price: $41.60

# Stochastic Analysis

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*Ichiro Shigekawa*

Stochastic analysis is often understood as the analysis of
functionals defined on the Wiener space, i.e., the space on which the
Wiener process is realized. Since the Wiener space is
infinite-dimensional, it requires a special calculus, the so-called
Malliavin calculus.

This book provides readers with a concise introduction to
stochastic analysis, in particular, to the Malliavin calculus. It
contains a detailed description of all the technical tools necessary
to describe the theory, such as the Wiener process, the
Ornstein-Uhlenbeck process, and Sobolev spaces. It also presents
applications of stochastic calculus to the study of stochastic
differential equations. The volume is suitable for graduate students
and research mathematicians interested in probability and random
processes.

#### Readership

Graduate students and research mathematicians interested in probability and random processes.

#### Reviews & Endorsements

The book is wonderfully organized ... clearly written ... should be a useful text for an informal seminar or course on these developments. ... Shigekawa is to be congratulated on writing a nice book and the AMS for bringing it out at a reasonable price.

-- Bulletin of the American Mathematical Society