The Malliavin calculus and related topics

Auteurs

• David Nualart

Paramètres

• 382 pages
• 14 heures de lecture

• Mathématiques

En savoir plus sur le livre

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

• Année de publication: 2006
• Reliure: (rigide)