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Více informací o knize The Malliavin Calculus and Related Topics

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Anotace knihy

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 (or stochastic calculus of variations) is an infinite-dimensional differential calculus on a Gaussian space. Originally, it was developed to provide a probabilistic proof to Hörmander's "sum of squares" theorem, but it has found a wide range of applications in stochastic analysis. This monograph presents the main features of the Malliavin calculus and discusses in detail its main applications. The author begins by developing the analysis on the Wiener space, and then uses this to establish the regularity of probability laws and to prove Hörmander's theorem. The regularity of the law of stochastic partial differential equations driven by a space-time white noise is also studied. The subsequent chapters develop the connection of the Malliavin with the anticipating stochastic calculus, studying anticipating stochastic differential equations and the Markov property of solutions to stochastic differential equations with boundary conditions.§The second edition of this monograph includes recent applications of the Malliavin calculus in finance and a chapter devoted to the stochastic calculus with respect to the fractional Brownian motion.

Parametry knihy

Zařazení knihy Knihy v angličtině Mathematics & science Mathematics Applied mathematics

• Plný název: The Malliavin Calculus and Related Topics
• Autor: David Nualart
• Jazyk: Angličtina
• Vazba: Brožovaná
• Počet stran: 382
• EAN: 9783642066511
• ISBN: 3642066518
• ID: 02108302
• Nakladatelství: Springer, Berlin
• Hmotnost: 597 g
• Rozměry: 237 × 154 × 20 mm
• Rok vydání: 2010

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