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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.
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The Malliavin calculus and related topics, David Nualart
- Language
- Released
- 2006
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- (Hardcover)
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- Language
- English
- Authors
- David Nualart
- Publisher
- Springer
- Released
- 2006
- Format
- Hardcover
- Pages
- 382
- ISBN10
- 3540283285
- ISBN13
- 9783540283287
- Series
- Rating
- 4 out of 5
- Description
- 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.