Malliavin Calculus and Related Topics

AvDavid Nualart

Inbunden, Engelska, 2005

Del i serien Probability and Its Applications

1 589 kr

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Fler format och utgåvor

Häftad

1 167 kr

Beskrivning

The Malliavin calculus is an infinite-dimensional differential calculus on a Gaussian space, developed to provide a probabilistic proof to Hormander'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.

Produktinformation

Utgivningsdatum:2005-12-20
Mått:155 x 235 x 33 mm
Vikt:748 g
Format:Inbunden
Språk:Engelska
Serie:Probability and Its Applications
Antal sidor:382
Upplaga:2
Förlag:Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN:9783540283287

Utforska kategorier

Tillämpad matematik inom Naturvetenskap och teknik

Recensioner i media

From the reviews of the second edition: "Nualart's book serves both pedagogic and research needs. On the one hand, it is written to teach the subject. ... On the other hand, the applications in the book are sufficiently broad and in depth that the reader who masters them should be prepared for research. ... Furthermore, the unified approach and the careful statement of technical results in the development of the applications make the text a handy reference for researchers. ... The bibliography is extensive and has been updated." (Daniel Ocone, Mathematical Reviews, Issue 2006 j)

Innehållsförteckning

Analysis on the Wiener space.- Regularity of probability laws.- Anticipating stochastic calculus.- Transformations of the Wiener measure.- Fractional Brownian motion.- Malliavin Calculus in finance.- Malliavin Calculus in finance.

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