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 introductory text presents detailed accounts of the different forms of the theory developed by Stroock and Bismut, discussions of the relationship between

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

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