The Malliavin calculus is an infinitedimensional differential calculus on a Gaussian space, developed to provide a probabilistic proof to Hormander'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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Author  :  David Nualart 
Publisher  :  SpringerVerlag Berlin and Heidelberg GmbH 
Data Published  :  25 November 2010 
ISBN  :  3642066518 
EAN  :  9783642066511 
Format Book  :  PDF, Epub, DOCx, TXT 
Number of Pages  :  400 pages 
Age +  :  15 years 
Language  :  English 
Rating  : 
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