This book provides a comprehensive and unified introduction to stochastic differential equations and related optimal control problems. The material is new and t

The origin of this book lies in an invitation to give a series of lectures on Malliavin calculus at the Probability Seminar of Venezuela, in April 1985. The con

This book provides the reader with the principal concepts and results related to differential properties of measures on infinite dimensional spaces. In the fini

In 5 independent sections, this book accounts recent main developments of stochastic analysis: Gross-Stroock Sobolev space over a Gaussian probability space; qu

A compact introduction to this active and powerful area of research, combining basic theory, core techniques, and recent applications.