The Malliavin Calculus and Related Topics (Probability and Its Applications)
Product Description
The Malliavin Calculus and Related Topics (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.
Technical Specifications
Customers who bought this also bought
You might also like
Malliavin Calculus and Its Applications (Cbms Regional Conference Series in Mathematics)
Stochastic Calculus for Fractional Brownian Motion and Applications (Probability and Its Applications)
Diffusions, Markov Processes and Martingales: Volume 2, Itô Calculus (Cambridge Mathematical Library)
Diffusions, Markov Processes, and Martingales: Volume 1, Foundations (Cambridge Mathematical Library)