A Short Course of Mathematical Analysis

This book presents the basic tools of modern analysis within the context of the fundamental problem of operator theory: to calculate spectra of specific operators on infinite dimensional spaces, especially operators on Hilbert spaces. The tools are diverse, and they provide the basis for more refined methods that allow one to approach problems that go well beyond the computation of spectra: the mathematical foundations of quantum physics, noncommutative k-theory, and the classification of simple C*-algebras being three areas of current research activity which require mastery of the material presented here. The book is based on a fifteen-week course which the author offered to first or second year graduate students with a foundation in measure theory and elementary functional analysis.

The main subject of the book is stochastic analysis and its various applications to mathematical finance and statistics of random processes. The main purpose of the book is to present, in a short and sufficiently self-contained form, the methods and results of the contemporary theory of stochastic analysis and to show how these methods and results work in mathematical finance and statistics of random processes. The book can be considered as a textbook for both senior undergraduate and graduate courses on this subject. The book can be helpful for undergraduate and graduate students, instructors and specialists on stochastic analysis and its applications.

The first course in Analysis, which follows calculus, along with other courses, such as differential equations and elementary linear algebra, in the curricu­ lum, presents special pedagogical challenges. There is a change of stress from computational manipulation to "proof. " Indeed, the course can become more a course in Logic than one in Analysis. Many students, caught short by a weak command of the means of mathematical discourse and unsure of what is expected of them, what "the game" is, suffer bouts of a kind of mental paralysis.

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