Nonfiction | Business & Investing

Introduction to Malliavin Calculus

by David Nualart

2020-03-20 15:44:07

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This textbook offers a compact introductory course on Malliavin calculus, an active and powerful area of research. It covers recent applications, including density formulas, regularity of probability laws, central and non-central limit theorems for G... Read more
This textbook offers a compact introductory course on Malliavin calculus, an active and powerful area of research. It covers recent applications, including density formulas, regularity of probability laws, central and non-central limit theorems for Gaussian functionals, convergence of densities and non-central limit theorems for the local time of Brownian motion. The book also includes a self-contained presentation of Brownian motion and stochastic calculus, as well as Lévy processes and stochastic calculus for jump processes. Accessible to non-experts, the book can be used by graduate students and researchers to develop their mastery of the core techniques necessary for further study. Less

Book Details

File size9.29 X 6.18 X 0.71 in
Print pages246
PublisherCambridge University Press
Publication date September 27, 2018
Languageeng
ISBN9781108644402
autor-image
David Nualart
Author
...

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