The Malliavin Calculus and Related Topics
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<P>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.</P>
- Autor: David Nualart
- Seitenzahl: 382
- Format: PDF
- DRM: social-drm (ohne Kopierschutz)
- Erscheinungsdatum: 27.02.2006
- Herausgeber: SPRINGER