Lecture Notes (Scuola Normale Superiore)

3 primary works

Introduction to Stochastic Analysis and Malliavin Calculus

by Giuseppe Da Prato

Published November 2007

This volume presents an introductory course on differential stochastic equations and Malliavin calculus. The material of the book has grown out of a series of courses delivered at the Scuola Normale Superiore di Pisa (and also at the Trento and Funchal Universities) and has been refined over several years of teaching experience in the subject. The lectures are addressed to a reader who is 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 differential stochastic equations and their connection with parabolic problems. The third part provides an introduction to the Malliavin calculus. Several applications are given, notably the Feynman-Kac, Girsanov and Clark-Ocone formulae, the Krylov-Bogoliubov and Von Neumann theorems. In this third edition several small improvements are added and a new section devoted to the differentiability of the Feynman-Kac semigroup is introduced. A considerable number of corrections and improvements have been made.

Introduction to Measure Theory and Integration

by Luigi Ambrosio, Giuseppe Da Prato, and Andrea Mennucci

Published 22 August 2011

This textbook collects the notes for an introductory course in measure theory and integration. The course was taught by the authors to undergraduate students of the Scuola Normale Superiore, in the years 2000-2011. The goal of the course was to present, in a quick but rigorous way, the modern point of view on measure theory and integration, putting Lebesgue's Euclidean space theory into a more general context and presenting the basic applications to Fourier series, calculus and real analysis. The text can also pave the way to more advanced courses in probability, stochastic processes or geometric measure theory.
Prerequisites for the book are a basic knowledge of calculus in one and several variables, metric spaces and linear algebra.
All results presented here, as well as their proofs, are classical. The authors claim some originality only in the presentation and in the choice of the exercises. Detailed solutions to the exercises are provided in the final part of the book.

Lectures on Elliptic Partial Differential Equations

by Luigi Ambrosio, Alessandro Carlotto, and Annalisa Massaccesi

Published 12 January 2019

The book originates from the Elliptic PDE course given by the first author at the Scuola Normale Superiore in recent years. It covers the most classical aspects of the theory of Elliptic Partial Differential Equations and Calculus of Variations, including also more recent developments on partial regularity for systems and the theory of viscosity solutions.