Introduction to Malliavin Calculus

ISBN-13: 9781107611986 / Angielski / Miękka / 2018 / 246 str.

David Nualart; Eulalia Nualart

Opis

A compact introduction to this active and powerful area of research, combining basic theory, core techniques, and recent applications.

Recenzje

'The book is written very clearly and precisely, and will be useful to anyone who wants to study the Malliavin calculus and its applications at the introductory level and then more deeply, as well as those who are ready to apply these results in their research. The book can be used to give lectures for graduate students.' Yuliya S. Mishura, zbMath

Spis treści

Preface; 1. Brownian motion; 2. Stochastic calculus; 3. Derivative and divergence operators; 4. Wiener chaos; 5. Ornstein-Uhlenbeck semigroup; 6. Stochastic integral representations; 7. Study of densities; 8. Normal approximations; 9. Jump processes; 10. Malliavin calculus for jump processes I; 11. Malliavin calculus for jump processes II; Appendix A. Basics of stochastic processes; References; Index.