The Malliavin calculus and related topics
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Bibliographic Information
The Malliavin calculus and related topics
（Probability and its applications）
Springer, c2010
2nd ed
- : [pbk]
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Note
Includes bibliographical references (p. [357]-375) and index
Description and Table of Contents
Description
The Malliavin calculus is an infinite-dimensional differential calculus on a Gaussian space, developed to provide a probabilistic proof to Hoermander'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.
Table of Contents
Analysis on the Wiener space.- Regularity of probability laws.- Anticipating stochastic calculus.- Transformations of the Wiener measure.- Fractional Brownian motion.- Malliavin Calculus in finance.- Malliavin Calculus in finance.
by "Nielsen BookData"