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The Malliavin Calculus and Related Topics (Probability and its Applications) 2024 pdf epub mobi 电子书

The Malliavin Calculus and Related Topics (Probability and its Applications)
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发表于2024-11-08

The Malliavin Calculus and Related Topics (Probability and its Applications) 2024 pdf epub mobi 电子书

The Malliavin Calculus and Related Topics (Probability and its Applications) 2024 pdf epub mobi 电子书

The Malliavin Calculus and Related Topics (Probability and its Applications) 2024 pdf epub mobi 电子书


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出版者:Springer
作者:David Nualart
出品人:
页数:382
译者:
出版时间:2006-02-10
价格:USD 89.95
装帧:Hardcover
isbn号码:9783540283287
丛书系列:Probability and its Applications- A Series of the Applied Probability Trust

图书标签: 数学  随机  Malliavin  随机过程  概率  Mathematics  Malliavin-Calculus  Finance   

The Malliavin Calculus and Related Topics (Probability and its Applications) 2024 pdf epub mobi 电子书 图书描述

The Malliavin calculus (or stochastic calculus of variations) is an infinite-dimensional differential calculus on a Gaussian space. Originally, it was developed to provide a probabilistic proof to Hörmander's "sum of squares" theorem, but it has found a wide range of applications in stochastic analysis. This monograph presents the main features of the Malliavin calculus and discusses in detail its main applications. The author begins by developing the analysis on the Wiener space, and then uses this to establish the regularity of probability laws and to prove Hörmander's theorem. The regularity of the law of stochastic partial differential equations driven by a space-time white noise is also studied. The subsequent chapters develop the connection of the Malliavin with the anticipating stochastic calculus, studying anticipating stochastic differential equations and the Markov property of solutions to stochastic differential equations with boundary conditions. The second edition of this monograph includes recent applications of the Malliavin calculus in finance and a chapter devoted to the stochastic calculus with respect to the fractional Brownian motion.

The Malliavin Calculus and Related Topics (Probability and its Applications) 2024 pdf epub mobi 电子书
The Malliavin Calculus and Related Topics (Probability and its Applications) 2024 pdf epub mobi 电子书
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The Malliavin Calculus and Related Topics (Probability and its Applications) 2024 pdf epub mobi 电子书

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