Malliavin Calculus and Its Applications (Cbms Regional

Malliavin Calculus and Its Applications (Cbms Regional Conference Series in Mathematics)

The Malliavin calculus was developed to provide a probabilistic proof of Hormander's hypoellipticity theorem. The theory has expanded to encompass other significant applications. The main application of the Malliavin calculus is to establish the regularity of the probability distribution of functionals of an underlying Gaussian process. In this way, one can prove the existence and smoothness of the density for solutions of various stochastic differential equations. More recently, applications of the Malliavin calculus in areas such as stochastic calculus for fractional Brownian motion, central limit theorems for multiple stochastic integrals, and mathematical finance have emerged. The first part of the book covers the basic results of the Malliavin calculus. The middle part establishes the existence and smoothness results that then lead to the proof of Hormander's hypoellipticity theorem. The last part discusses the recent developments for Brownian motion, central limit theorems, and mathematical finance.

Country	USA
Author	David Nualart
Binding	Paperback
EAN	9780821847794
ISBN	0821847791
Label	American Mathematical Society
Manufacturer	American Mathematical Society
NumberOfPages	85
PublicationDate	2009-04-16
Publisher	American Mathematical Society
Studio	American Mathematical Society
ReleaseDate	0000-00-00

Malliavin Calculus and Its Applications (Cbms Regional Conference Series in Mathematics)