The Malliavin Calculus and Related Topics
| Author | : David Nualart |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 390 |
| Release | : 2006-02-27 |
| ISBN-10 | : 9783540283294 |
| ISBN-13 | : 3540283293 |
| Rating | : 4/5 (293 Downloads) |
Book Synopsis The Malliavin Calculus and Related Topics by : David Nualart
Download or read book The Malliavin Calculus and Related Topics written by David Nualart and published by Springer Science & Business Media. This book was released on 2006-02-27 with total page 390 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Top