The Malliavin Calculus and Related Topics Hardback
Part of the Probability and Its Applications series
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.
- Format: Hardback
- Pages: 382 pages, XIV, 382 p.
- Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. K
- Publication Date: 20/12/2005
- Category: Stochastics
- ISBN: 9783540283287
- PDF from £61.20