ENGLISH

The Malliavin Calculus and Related Topics

By David Nualart

Book information

Publisher
Springer
Year
2005
ISBN
3540283285, 9783540283287
DOI
10.1596/978-0-8213-6878-7
Open Library ID
OL9055833M
Language
english
Format
PDF
Filesize
3 MB (3313553 bytes)
Series
Probability and Its Applications
Edition
2nd ed.
Pages
389\389
Time added
2011-01-06 10:13:16

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.

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