Introduction to Stochastic Analysis and Malliavin Calculus (Publications of the Scuola Normale Superiore / Lecture Notes (Scuola Normale Superiore))

This volume collects lecture notes from courses delivered in the past years at the Scuola Normale Superiore in Pisa, and also at the Trento and Funchal Universities. It presents an introductory course on differential stochastic equations and Malliavin calculus. The lectures are addressed to readers familiar with basic notions of measure theory and functional analysis. The first part is devoted to the Gaussian measure in a separable Hilbert space, the Malliavin derivative, the construction of the Brownian motion and Itô's formula. The second part deals with the differential stochastic equations and their connection with parabolic problems. Several applications are given, notably the Feynman-Kac, Girsanov and Clark-Ocone formulae, the Krylov-Bogoliubov and Von-Neumann theorems.