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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
- Taal
- Jaar van publicatie
- 2010
- product-detail.submit-box.info.binding
- (Paperback)
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- Taal
- Engels
- Auteurs
- David Nualart
- Uitgever
- Springer Berlin Heidelberg
- Jaar van publicatie
- 2010
- Formaat
- Paperback
- Aantal pagina's
- 400
- ISBN13
- 9783642066511
- Reeks
- Beoordeling
- 4 van 5
- Aantekening
- 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.