The Malliavin calculus is an infinite-dimensional differential calculus on a Gaussian space, developed to provide a probabilistic proof to H 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.
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The Malliavin calculus is an infinite-dimensional differential calculus on a Gaussian space, developed to provide a probabilistic proof to H 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.
Imprint | Springer-Verlag |
Country of origin | Germany |
Series | Probability and Its Applications |
Release date | November 2010 |
Availability | Expected to ship within 10 - 15 working days |
First published | 2006 |
Authors | David Nualart |
Dimensions | 235 x 155 x 20mm (L x W x T) |
Format | Paperback |
Pages | 382 |
Edition | Softcover reprint of hardcover 2nd ed. 2006 |
ISBN-13 | 978-3-642-06651-1 |
Barcode | 9783642066511 |
Categories | |
LSN | 3-642-06651-8 |