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The second edition incorporates significant advancements in Malliavin calculus over the past decade, adding two new chapters on Fractional Brownian motion and Mathematical Finance. Key modifications include a refined presentation of derivative and divergence operators within an isonormal Gaussian process framework. The text also explores Sobolev spaces and provides a general estimate for the density of one-dimensional random variables, along with applications to stochastic integrals and properties of nondegenerate random vectors, enhancing the theoretical foundation of the subject.
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The Malliavin Calculus and Related Topics, David Nualart
- Idioma
- Publicado en
- 2010
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- Idioma
- Inglés
- Autores
- David Nualart
- Editorial
- Springer Berlin Heidelberg
- Publicado en
- 2010
- Formato
- Tapa blanda
- Páginas
- 400
- ISBN13
- 9783642066511
- Serie
- Etiquetas
- No ficción, Ciencia y Matemáticas, Matemáticas
- Calificación
- 4 de 5
- Descripción
- The second edition incorporates significant advancements in Malliavin calculus over the past decade, adding two new chapters on Fractional Brownian motion and Mathematical Finance. Key modifications include a refined presentation of derivative and divergence operators within an isonormal Gaussian process framework. The text also explores Sobolev spaces and provides a general estimate for the density of one-dimensional random variables, along with applications to stochastic integrals and properties of nondegenerate random vectors, enhancing the theoretical foundation of the subject.