Malliavin Calculus and Related Topics

Inbunden, Engelska, 2005

AvDavid Nualart

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The Malliavin calculus is an infinite-dimensional differential calculus on a Gaussian space, developed to provide a probabilistic proof to Hormander'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.

Produktinformation

Utgivningsdatum2005-12-20
Mått155 x 235 x 33 mm
Vikt748 g
FormatInbunden
SpråkEngelska
SerieProbability and Its Applications
Antal sidor382
Upplaga2
FörlagSpringer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN9783540283287

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From the reviews of the second edition: "Nualart's book serves both pedagogic and research needs. On the one hand, it is written to teach the subject. ... On the other hand, the applications in the book are sufficiently broad and in depth that the reader who masters them should be prepared for research. ... Furthermore, the unified approach and the careful statement of technical results in the development of the applications make the text a handy reference for researchers. ... The bibliography is extensive and has been updated." (Daniel Ocone, Mathematical Reviews, Issue 2006 j)