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The Malliavin calculus is an infinite-dimensional differential calculus on a Gaussian space, developed to provide a probabilistic proof to Hörmander's sum of squares theorem but has found a range of applications in stochastic analysis. This book presents the features of Malliavin calculus and discusses its main applications. This second edition includes recent applications in finance and a chapter devoted to the stochastic calculus with respect to the fractional Brownian motion.
Achat du livre
The Malliavin calculus and related topics, David Nualart
- Langue
- Année de publication
- 2006
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- (rigide)
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- Langue
- Anglais
- Auteurs
- David Nualart
- Éditeur
- Springer
- Publié
- 2006
- Format
- rigide
- Pages
- 382
- ISBN10
- 3540283285
- ISBN13
- 9783540283287
- Séries
- Mots clés
- Nonfiction, Science et Mathématiques, Mathématiques
- Évaluation
- 4 sur 5
- Description
- The Malliavin calculus is an infinite-dimensional differential calculus on a Gaussian space, developed to provide a probabilistic proof to Hörmander's sum of squares theorem but has found a range of applications in stochastic analysis. This book presents the features of Malliavin calculus and discusses its main applications. This second edition includes recent applications in finance and a chapter devoted to the stochastic calculus with respect to the fractional Brownian motion.