David Nualart

(Author)

The Malliavin Calculus and Related Topics (2006)Hardcover - 2006, 20 December 2005

The Malliavin Calculus and Related Topics (2006)
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Part of Series
Probability and Its Applications
Print Length
382 pages
Language
English
Publisher
Springer
Date Published
20 Dec 2005
ISBN-10
3540283285
ISBN-13
9783540283287

Description

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.

Product Details

Author:
David Nualart
Book Edition:
2006
Book Format:
Hardcover
Country of Origin:
DE
Date Published:
20 December 2005
Dimensions:
24.05 x 16.54 x 2.57 cm
ISBN-10:
3540283285
ISBN-13:
9783540283287
Language:
English
Location:
Berlin, Heidelberg
Pages:
382
Publisher:
Weight:
703.07 gm

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