The Malliavin Calculus and Related Topics
2nd Edition
Published on 20. December 2005
Book
Hardback
XIV, 382 pages
978-3-540-28328-7 (ISBN)
Description
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.
Reviews / Votes
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)More details
Product info
HC runder Rücken kaschiert
Series
Edition
2nd ed.
Language
English
Place of publication
Berlin, Heidelberg
Germany
Target group
Research
Edition type
New edition
Product notice
Laminated cover
Illustrations
biography
Dimensions
Height: 235 mm
Width: 155 mm
Thickness: 27 mm
Weight
760 gr
ISBN-13
978-3-540-28328-7 (9783540283287)
DOI
10.1007/3-540-28329-3
Schweitzer Classification
Other editions
Additional editions
David Nualart
The Malliavin Calculus and Related Topics
Book
11/2010
2nd Edition
Springer
€117.69
Shipment within 7-9 days
David Nualart
The Malliavin Calculus and Related Topics
E-Book
02/2006
2nd Edition
Springer
€106.99
Available for download
Previous edition
David Nualart
The Malliavin Calculus and Related Topics
Book
05/1995
Springer
€85.59
Article exhausted; check for reprint
Content
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.