The Malliavin Calculus and Related Topics
2nd ed. 2006
By (author) David Nualart
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
Books By Author David Nualart
Stochastic Analysis, Stochastic Systems, and Applications to Finance, Hardback (June 2011)» View all books by David Nualart
Introduces some advanced topics in probability theories - both pure and applied. This book deals with the analysis of stochastic dynamical systems, in terms of Gaussian processes, white noise theory, and diffusion processes. It discusses some applications of optimization theories, martingale measure theories, and asset trading modeling.
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