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.
Rezensionen / Stimmen
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)
Produkt-Info
HC runder Rücken kaschiert
Reihe
Auflage
Sprache
Verlagsort
Berlin, Heidelberg
Deutschland
Zielgruppe
Editions-Typ
Produkt-Hinweis
Illustrationen
Maße
Höhe: 235 mm
Breite: 155 mm
Dicke: 27 mm
Gewicht
ISBN-13
978-3-540-28328-7 (9783540283287)
DOI
Schweitzer Klassifikation
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.
