The Malliavin calculus and related topics

Autor*innen

• David Nualart

Parameter

• 382 Seiten
• 14 Lesestunden

• Mathematik

Mehr zum Buch

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.

• Sprache: Englisch
• Erscheinungsdatum: 2006
• Einband: Hardcover