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" Introduction to Malliavin calculus / "
David Nualart, University of Kansas ; Eulalia Nualart, Universitat Pompeu Fabra, Barcelona.
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BL
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| Record Number
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838874
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| Main Entry
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Nualart, David,1951-
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| Title & Author
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Introduction to Malliavin calculus /\ David Nualart, University of Kansas ; Eulalia Nualart, Universitat Pompeu Fabra, Barcelona.
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| Publication Statement
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Cambridge :: Cambridge University Press,, [2018]
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, ©2018
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| Series Statement
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Institute of Mathematical Statistics textbooks ;; 9
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1 online resource (xii, 236 pages)
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| ISBN
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1139856480
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: 9781139856485
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1107039126
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1107611989
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9781107039124
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9781107611986
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Includes bibliographical references and index.
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| Contents
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Brownian motion -- Stochastic calculus -- Derivative and divergence operators -- Wiener chaos -- Ornstein-Uhlenbeck semigroup -- Stochastic integral representations -- Study of densities -- Normal approximations -- Jump processes -- Malliavin calculus for jump processes I -- Malliavin calculus for jump processes II.
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| Abstract
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This textbook offers a compact introductory course on Malliavin calculus, an active and powerful area of research. It covers recent applications, including density formulas, regularity of probability laws, central and non-central limit theorems for Gaussian functionals, convergence of densities and non-central limit theorems for the local time of Brownian motion. The book also includes a self-contained presentation of Brownian motion and stochastic calculus, as well as Lévy processes and stochastic calculus for jump processes. Accessible to non-experts, the book can be used by graduate students and researchers to develop their mastery of the core techniques necessary for further study.
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Calculus of variations.
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Derivatives (Mathematics)
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Malliavin calculus.
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Stochastic analysis.
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Calculus of variations.
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Derivatives (Mathematics)
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Malliavin calculus.
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Stochastic analysis.
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| Dewey Classification
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519.2/3
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| LC Classification
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QA174.2.N83 2018
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| Added Entry
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Nualart, Eulalia
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