The Malliavin Calculus and Related Topics
Format:Hardback
Publisher:Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Published:20th Dec '05
Currently unavailable, and unfortunately no date known when it will be back
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.
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)
ISBN: 9783540283287
Dimensions: unknown
Weight: 1640g
382 pages
2nd ed. 2006