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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.
Nákup knihy
The Malliavin Calculus and Related Topics, David Nualart
- Jazyk
- Rok vydania
- 2010
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- Titul
- The Malliavin Calculus and Related Topics
- Jazyk
- anglicky
- Autori
- David Nualart
- Vydavateľ
- Springer Berlin Heidelberg
- Rok vydania
- 2010
- Väzba
- mäkká
- Počet strán
- 400
- ISBN13
- 9783642066511
- Série
- Hodnotenie
- 4 z 5
- Anotácia
- 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.