The Malliavin calculus is an infinite-dimensional differential
calculus on a Gaussian space, developed to provide a probabilistic
proof to H rmander'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.
General
| Imprint: |
Springer-Verlag
|
| Country of origin: |
Germany |
| Series: |
Probability and Its Applications |
| Release date: |
November 2010 |
| First published: |
2006 |
| Authors: |
David Nualart
|
| Dimensions: |
235 x 155 x 20mm (L x W x T) |
| Format: |
Paperback
|
| Pages: |
382 |
| Edition: |
Softcover reprint of hardcover 2nd ed. 2006 |
| ISBN-13: |
978-3-642-06651-1 |
| Categories: |
Books >
Science & Mathematics >
Mathematics >
Probability & statistics
|
| LSN: |
3-642-06651-8 |
| Barcode: |
9783642066511 |
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