The Malliavin Calculus And Related Topics (probability And Its Applications)
by David Nualart /
2006 / English / PDF
3.2 MB Download
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.
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.
