The infinite dimensional analysis as a branch of mathematical sciences was formed in the late 19th and early 20th centuries. Motivated by problems in mathematic

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 sta

This book presents the mathematical issues that arise in modeling the interest rate term structure by casting the interest-rate models as stochastic evolution e

The systematic study of existence, uniqueness, and properties of solutions to stochastic differential equations in infinite dimensions arising from practical pr

Providing an introduction to stochastic optimal control in infinite dimension, this book gives a complete account of the theory of second-order HJB equations in