The Malliavin Calculus and Related Topics (Probability and its Applications) 2024 pdf epub mobi 電子書 下載

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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 電子書 下載

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發表於2024-11-10

The Malliavin Calculus and Related Topics (Probability and its Applications) 2024 pdf epub mobi 電子書 下載

The Malliavin Calculus and Related Topics (Probability and its Applications) 2024 pdf epub mobi 電子書 下載

The Malliavin Calculus and Related Topics (Probability and its Applications) 2024 pdf epub mobi 電子書 下載

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圖書標籤: 數學  隨機  Malliavin  隨機過程  概率  Mathematics  Malliavin-Calculus  Finance   

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The Malliavin Calculus and Related Topics (Probability and its Applications) 2024 pdf epub mobi 電子書 下載

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