The Malliavin Calculus and Related Topics
2nd ed. 2006
By (author) David Nualart
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Malliavin Calculus and Related Topics by David Nualart
Book DescriptionThe Malliavin calculus is an infinite-dimensional differential calculus on a Gaussian space, developed to provide a probabilistic proof to Hormander'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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Book DetailsISBN: 9783540283287
(234mm x 156mm x 23mm)
Imprint: Springer-Verlag Berlin and Heidelberg GmbH & Co. K
Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Publish Date: 20-Dec-2005
Country of Publication: Germany
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