The Malliavin Calculus and Related Topics

Autori

• David Nualart

Parametri

• 400 pagine
• 14 ore di lettura

• Matematica

Maggiori informazioni sul libro

The second edition incorporates significant advancements in Malliavin calculus over the past decade, adding two new chapters on Fractional Brownian motion and Mathematical Finance. Key modifications include a refined presentation of derivative and divergence operators within an isonormal Gaussian process framework. The text also explores Sobolev spaces and provides a general estimate for the density of one-dimensional random variables, along with applications to stochastic integrals and properties of nondegenerate random vectors, enhancing the theoretical foundation of the subject.

Lingua: Inglese

Pubblicato: 2010

(In brossura)