The Malliavin Calculus and Related Topics

2. Auflage 2006
ISBN: 978-3-540-28328-7
Verlag: Springer Berlin Heidelberg

Buch, Englisch, 382 Seiten, Format (B × H): 160 mm x 241 mm, Gewicht: 1640 g

Reihe: Probability and Its Applications

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.

Zielgruppe

Research

Autoren/Hrsg.

Nualart, David

Fachgebiete

• Mathematik | Informatik Mathematik Stochastik
• Mathematik | Informatik Mathematik Mathematische Analysis Differentialrechnungen und -gleichungen
• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Angewandte Mathematik, Mathematische Modelle

Inhaltsverzeichnis

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.