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The Malliavin Calculus and Related Topics (Probability and Its Applications)

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The Malliavin Calculus and Related Topics (Probability and Its Applications)

The Malliavin calculus is an infinite-dimensional differential calculus on a Gaussian space, developed to provide a probabilistic proof to HÃ¶rmander'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.
Country USA
Brand Springer
Manufacturer Springer
Binding Hardcover
ItemPartNumber biography
ReleaseDate 2005-12-20
UnitCount 1
EANs 9783540283287

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