David Nualart,
Eulalia Nualart
Introduction to Malliavin Calculus
Gebonden Engels 2018 9781107039124
Verwachte levertijd ongeveer 9 werkdagen
Samenvatting
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.
Specificaties
ISBN13:9781107039124
Taal:Engels
Bindwijze:Gebonden
Aantal pagina's:246
Uitgever:Cambridge University Press
Serie:Institute of Mathema
Lezersrecensies
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Inhoudsopgave
Preface; 1. Brownian motion; 2. Stochastic calculus; 3. Derivative and divergence operators; 4. Wiener chaos; 5. Ornstein-Uhlenbeck semigroup; 6. Stochastic integral representations; 7. Study of densities; 8. Normal approximations; 9. Jump processes; 10. Malliavin calculus for jump processes I; 11. Malliavin calculus for jump processes II; Appendix A. Basics of stochastic processes; References; Index.
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