The Malliavin Calculus and Related Topics by David Nualart

The Malliavin Calculus and Related Topics



Download The Malliavin Calculus and Related Topics




The Malliavin Calculus and Related Topics David Nualart
Language: English
Page: 389
Format: pdf
ISBN: 3540283285, 9783540283287
Publisher: Springer

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.

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