The Malliavin Calculus and Related Topics

The Malliavin Calculus and Related Topics
Author :
Publisher : Springer Science & Business Media
Total Pages : 390
Release :
ISBN-10 : 9783540283294
ISBN-13 : 3540283293
Rating : 4/5 (293 Downloads)

Book Synopsis The Malliavin Calculus and Related Topics by : David Nualart

Download or read book The Malliavin Calculus and Related Topics written by David Nualart and published by Springer Science & Business Media. This book was released on 2006-02-27 with total page 390 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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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