Nonfiction | Business & Investing
Introduction to Malliavin Calculus
by David Nualart 2020-03-20 11:14:07
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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 G... Read more
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. Less
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  • Print pages
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  • Publication date
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  • ISBN
  • 9.29 X 6.18 X 0.71 in
  • 246
  • Cambridge University Press
  • September 27, 2018
  • eng
  • 9781108644402
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David Nualart
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