Author : Giuseppe Da Prato
Publisher : Springer Science & Business Media
Page : 217 pages
File Size : 25,56 MB
Release : 2006-08-25
Category : Mathematics
ISBN : 3540290214
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.