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.
Format: Hardback
CONTRIBUTORS: David Nualart
EAN: 9783540283287
COUNTRY: Germany
PAGES:
WEIGHT: 1640 g
HEIGHT: 235 cm
PUBLISHED BY: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
DATE PUBLISHED: 2005-12-20
CITY:
GENRE: MATHEMATICS / Probability & Statistics / General
WIDTH: 155 cm
SPINE:
Book Themes:
Probability and statistics, Stochastics
From the reviews of the second edition:
"Nualart’s book serves both pedagogic and research needs. On the one hand, it is written to teach the subject. … On the other hand, the applications in the book are sufficiently broad and in depth that the reader who masters them should be prepared for research. … Furthermore, the unified approach and the careful statement of technical results in the development of the applications make the text a handy reference for researchers. … The bibliography is extensive and has been updated." (Daniel Ocone, Mathematical Reviews, Issue 2006 j)
