Author | ร{156}stรผnel, Ali Sรผleyman. author |
---|---|

Title | Transformation of Measure on Wiener Space [electronic resource] / by Ali Sรผleyman ร{156}stรผnel, Moshe Zakai |

Imprint | Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2000 |

Connect to | http://dx.doi.org/10.1007/978-3-662-13225-8 |

Descript | XIII, 298 p. online resource |

SUMMARY

This book gives a systematic presentation of the main results on the transformation of measure induced by shift transformations on Wiener space. This topic has its origins in the work of Cameron and Martin (anticipative shifts, 1940's) and that of Girsanov (non-anticipative shifts, 1960's). It played an important role in the development of non-anticipative stochastic calculus and itself developed under the impulse of the stochastic calculus of variations. The recent results presented in the book include a dimension-free form of the Girsanov theorem, the transformations of measure induced by anticipative non-invertible shift transformations, the transformation of measure induced by flows, the extension of the notions of Sard lemma and degree theory to Wiener space, generalized distribution valued Radon-Nikodym theorems and measure preserving transformations. Basic probability theory and the Ito calculus are assumed known; the necessary results from the Malliavin calculus are presented in the appendix. Aimed at graduate students and researchers, it can be used as a text for a course or a seminar

CONTENT

1. Some Background Material and Preliminary Results -- 2. Transformation of Measure Induced by Adapted Shifts -- 3. Transformation of Measure Induced by General Shifts -- 4. The Sard Inequality -- 5. Transformation of Measure Under Anticipative Flows -- 6. Monotone Shifts -- 7. Generalized Radon-Nikodym Derivatives -- 8. Random Rotations -- 9. The Degree Theorem on Wiener Space -- A. Some Inequalities -- A.1 Gronwall and Young Inequalities -- A.1.1 Gronwall Inequality -- A.1.2 Young Inequality -- B. An Introduction to Malliavin Calculus -- B.1 Introduction to Abstract Wiener Space -- B.2 An Introduction to Analysis on Wiener Space -- B.3 Construction of Sobolev Derivatives -- B.4 The Divergence -- B.5 Ornstein-Uhlenbeck Operator and Meyer Inequalities -- B.6 Some Useful Lemmas -- B.7 Local Versus Global Differentiability of Wiener Functionals -- B.8 Exponential Integrability of Wiener Functionals and Poincarรฉ Inequality -- Notes and References -- References -- Notations

Mathematics
Functional analysis
Measure theory
Probabilities
Mathematics
Measure and Integration
Functional Analysis
Probability Theory and Stochastic Processes