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-time behavior.
- ISBN: 978-3-642-42168-6
- Editorial: Springer
- Encuadernacion: Rústica
- Fecha Publicación: 30/11/2014
- Nº Volúmenes: 1
- Idioma: Inglés