The Malliavin Calculus and Related Topics (Probability and its Applications) pdf epub mobi txt 电子书下载 2024

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David Nualart

Springer

2006-02-10

382

USD 89.95

Hardcover

Probability and its Applications- A Series of the Applied Probability Trust

9783540283287

图书标签: 数学随机 Malliavin 随机过程概率 Mathematics Malliavin-Calculus Finance

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The Malliavin Calculus and Related Topics (Probability and its Applications) epub 下载 mobi 下载 pdf 下载 txt 电子书下载 2024

The Malliavin Calculus and Related Topics (Probability and its Applications) pdf epub mobi txt 电子书下载 2024

图书描述

The Malliavin calculus (or stochastic calculus of variations) is an infinite-dimensional differential calculus on a Gaussian space. Originally, it was developed to provide a probabilistic proof to Hörmander's "sum of squares" theorem, but it has found a wide range of applications in stochastic analysis. This monograph presents the main features of the Malliavin calculus and discusses in detail its main applications. The author begins by developing the analysis on the Wiener space, and then uses this to establish the regularity of probability laws and to prove Hörmander's theorem. The regularity of the law of stochastic partial differential equations driven by a space-time white noise is also studied. The subsequent chapters develop the connection of the Malliavin with the anticipating stochastic calculus, studying anticipating stochastic differential equations and the Markov property of solutions to stochastic differential equations with boundary conditions. The second edition of this monograph includes recent applications of the Malliavin calculus in finance and a chapter devoted to the stochastic calculus with respect to the fractional Brownian motion.

The Malliavin Calculus and Related Topics (Probability and its Applications) 下载 mobi epub pdf txt 电子书