Assuming only basic knowledge of probability theory and functional analysis, this book provides a selfcontained introduction to Malliavin calculus and infinitedimensional Brownian motion. In an effort to demystify a subject thought to be difficult, it exploits the framework of nonstandard analysis, which allows infinitedimensional problems to be treated as finitedimensional. The result is an intuitive, indeed enjoyable, development of both Malliavin calculus and nonstandard analysis. The main aspects of stochastic analysis and Malliavin calculus are incorporated into this simplifying framework. Topics covered include Brownian motion, OrnsteinUhlenbeck processes both with values in abstract Wiener spaces, Levy processes, multiple stochastic integrals, chaos decomposition, Malliavin derivative, ClarkOcone formula, Skorohod integral processes and Girsanov transformations. The careful exposition, which is neither too abstract nor too theoretical, makes this book accessible to graduate students, as well as to researchers interested in the techniques.
About Horst Osswald
Horst Osswald is a Professor of Mathematics at Universitat Munchen.Details Book
Author  :  Horst Osswald 
Publisher  :  Cambridge University Press 
Data Published  :  01 March 2012 
ISBN  :  1107016142 
EAN  :  9781107016149 
Format Book  :  PDF, Epub, DOCx, TXT 
Number of Pages  :  428 pages 
Age +  :  15 years 
Language  :  English 
Rating  : 
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