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The Malliavin Calculus and Related Topics, Hardback Book

The Malliavin Calculus and Related Topics Hardback

Part of the Probability and Its Applications series

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.

Information

  • Format: Hardback
  • Pages: 382 pages, XIV, 382 p.
  • Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. K
  • Publication Date:
  • Category: Stochastics
  • ISBN: 9783540283287

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