The purpose of this book is to present a comprehensive account of the different definitions of stochastic integration for fBm, and to give applications of the resulting theory. Particular emphasis is placed on studying the relations between the different approaches. Readers are assumed to be familiar with probability theory and stochastic analysis, although the mathematical techniques used in the book are thoroughly exposed and some of the necessary prerequisites, such as classical white noise theory and fractional calculus, are recalled in the appendices. This book will be a valuable...
The purpose of this book is to present a comprehensive account of the different definitions of stochastic integration for fBm, and to give applicat...
The purpose of this book is to present a comprehensive account of the different definitions of stochastic integration for fBm, and to give applications of the resulting theory. Particular emphasis is placed on studying the relations between the different approaches. Readers are assumed to be familiar with probability theory and stochastic analysis, although the mathematical techniques used in the book are thoroughly exposed and some of the necessary prerequisites, such as classical white noise theory and fractional calculus, are recalled in the appendices. This book will be a valuable...
The purpose of this book is to present a comprehensive account of the different definitions of stochastic integration for fBm, and to give applicat...
The stochastic calculus of variations of Paul Malliavin (1925 - 2010), known today as the Malliavin Calculus, has found many applications, within and beyond the core mathematical discipline. This book presents research at an international conference in honor of David Nualart's career, on March 19-21, 2011, at the University of Kansas, USA.
The stochastic calculus of variations of Paul Malliavin (1925 - 2010), known today as the Malliavin Calculus, has found many applications, within and ...
Analysis of functions on the finite dimensional Euclidean space with respect to the Lebesgue measure is fundamental in mathematics. The extension to infinite dimension is a great challenge due to the lack of Lebesgue measure on infinite dimensional space. Instead the most popular measure used in infinite dimensional space is the Gaussian measure, which has been unified under the terminology of 'abstract Wiener space'.Out of the large amount of work on this topic, this book presents some fundamental results plus recent progress. We shall present some results on the Gaussian space itself such...
Analysis of functions on the finite dimensional Euclidean space with respect to the Lebesgue measure is fundamental in mathematics. The extension to i...
