This textbook offers a compact introductory course on Malliavin
calculus, an active and powerful area of research. It covers recent
applications, including density formulas, regularity of probability
laws, central and non-central limit theorems for Gaussian
functionals, convergence of densities and non-central limit
theorems for the local time of Brownian motion. The book also
includes a self-contained presentation of Brownian motion and
stochastic calculus, as well as Levy processes and stochastic
calculus for jump processes. Accessible to non-experts, the book
can be used by graduate students and researchers to develop their
mastery of the core techniques necessary for further study.
General
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