num_pages: 0
description: 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.
language: English
title: An Introduction to Infinite-Dimensional Analysis
titlecomplete: An Introduction to Infinite-Dimensional Analysis (Universitext)
genres: Mathematics
ratings_count: 2
publisher: Springer