David Nualart The Malliavin Calculus and Related Topics 9783642066511

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Автор: David Nualart
Название: The Malliavin Calculus and Related Topics
ISBN: 9783642066511
Издательство: Springer
Классификация:

Вероятность и статистика

ISBN-10: 3642066518
Обложка/Формат: Paperback
Страницы: 382
Вес: 0.56 кг.
Дата издания: 30.11.2010
Серия: Probability and Its Applications
Язык: English
Размер: 234 x 156 x 21
Основная тема: Mathematics
Ссылка на Издательство: Link
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Поставляется из: Германии
Описание: There have been ten years since the publication of the ?rst edition of this book. Since then, new applications and developments of the Malliavin c- culus have appeared. In preparing this second edition we have taken into account some of these new applications, and in this spirit, the book has two additional chapters that deal with the following two topics: Fractional Brownian motion and Mathematical Finance. The presentation of the Malliavin calculus has been slightly modi?ed at some points, where we have taken advantage of the material from the lecturesgiveninSaintFlourin1995(seereference 248]).Themainchanges and additional material are the following: In Chapter 1, the derivative and divergence operators are introduced in the framework of an isonormal Gaussian process associated with a general 2 Hilbert space H. The case where H is an L -space is trated in detail aft- s, p wards (white noise case). The Sobolev spaces D, with s is an arbitrary real number, are introduced following Watanabes work. Chapter2includesageneralestimateforthedensityofaone-dimensional random variable, with application to stochastic integrals. Also, the c- position of tempered distributions with nondegenerate random vectors is discussed following Watanabes ideas. This provides an alternative proof of the smoothness of densities for nondegenerate random vectors. Some properties of the support of the law are also presented.

The Malliavin Calculus and Related Topics, David Nualart