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The Malliavin calculus and related topics / David Nualart.
Author
Nualart, David, 1951-
[Browse]
Format
Book
Language
English
Published/Created
New York : Springer-Verlag, ©1995.
Description
xi, 266 pages : illustrations ; 25 cm
Availability
Copies in the Library
Location
Call Number
Status
Location Service
Notes
Lewis Library - Stacks
QA274.2 .N83 1995
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Details
Subject(s)
Malliavin calculus
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Series
Probability and its applications (Springer-Verlag)
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Probability and its applications
Summary note
Readers are assumed to have a firm grounding in probability as might be gained from a graduate course in the subject. Exercises at the end of each chapter help to reinforce a reader's understanding and to extend some of the ideas covered, and each chapter ends with a discussion of further directions that research has taken.
The Malliavin calculus (or stochastic calculus of variations) is an infinite-dimensional differential calculus on the Wiener space. Originally, it was developed to provide a probabilistic proof to Hormander's "sum of squares" theorem, but more recently it has found application in a variety of stochastic differential equation problems. This monograph presents the main features of the Malliavin calculus and discusses in detail its connection with the anticipating stochastic calculus. The author begins by developing analysis on the Wiener space, and then uses this to analyze the regularity of probability laws and to prove Hormander's theorem. Subsequent chapters apply the Malliavin calculus to anticipating stochastic differential equations and to studying the Markov property of solutions to stochastic differential equations with boundary conditions.
Bibliographic references
Includes bibliographical references (p. [241]-260) and indexes.
Contents
1. Analysis on the Wiener space
2. Smoothness of probability laws
3. Anticipating stochastic calculus
4. Transformations of the Wiener measure.
Show 1 more Contents items
ISBN
038794432X ((acid-free paper))
9780387944326 ((acid-free paper))
LCCN
94048195
OCLC
31754140
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The Malliavin calculus and related topics / David Nualart.
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