The Malliavin Calculus and Related Topics (Probability and Its Applications Softcover reprint of hardcover 2nd ed. 2006)

The Malliavin Calculus and Related Topics (Probability and Its Applications Softcover reprint of hardcover 2nd ed. 2006)

By: David Nualart (author)Paperback

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Description

The Malliavin calculus is an infinite-dimensional differential calculus on a Gaussian space, developed to provide a probabilistic proof to Hoermander'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.

Contents

Analysis on the Wiener space.- Regularity of probability laws.- Anticipating stochastic calculus.- Transformations of the Wiener measure.- Fractional Brownian motion.- Malliavin Calculus in finance.- Malliavin Calculus in finance.

Product Details

  • ISBN13: 9783642066511
  • Format: Paperback
  • Number Of Pages: 382
  • ID: 9783642066511
  • weight: 611
  • ISBN10: 3642066518
  • edition: Softcover reprint of hardcover 2nd ed. 2006

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