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.
The Malliavin Calculus and Related Topics (Probability and Its Applications)
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Book Details
Author(s)David Nualart
PublisherSpringer
ISBN / ASIN3642066518
ISBN-139783642066511
AvailabilityUsually ships in 24 hours
Sales Rank2,776,242
CategoryMathematics
MarketplaceUnited States 🇺🇸
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