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Více o knize
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.
Nákup knihy
The Malliavin calculus and related topics, David Nualart
- Jazyk
- Rok vydání
- 2006
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- (pevná)
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Doručení
Platební metody
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- Jazyk
- anglicky
- Autoři
- David Nualart
- Vydavatel
- Springer
- Rok vydání
- 2006
- Vazba
- pevná
- Počet stran
- 382
- ISBN10
- 3540283285
- ISBN13
- 9783540283287
- Série
- Hodnocení
- 4 z 5
- Anotace
- 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.