Autorzy | |
Wydawnictwo | Springer, Berlin |
Data wydania | |
Liczba stron | 382 |
Forma publikacji | książka w twardej oprawie |
Język | angielski |
ISBN | 9783540283287 |
Kategorie | Prawdopodobieństwo i statystyka |
The Malliavin calculus is an infinite-dimensional differential calculus on a Gaussian space, developed to provide a probabilistic proof to Hörmander'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.
The Malliavin Calculus and Related Topics