The Malliavin calculus and related topics

Autori

• David Nualart

Parametri

• 382 pagine
• 14 ore di lettura

• Matematica

Maggiori informazioni sul libro

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.

Lingua: Inglese

Pubblicato: 2006

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