David Nualart (University of Kansas), Eulalia Nualart (Barcelona Universitat Pompeu Fabra)

Introduction to Malliavin Calculus

• Broschiertes Buch

Produktbeschreibung

This textbook offers a compact introduction to Malliavin calculus. It covers recent applications, and includes a self-contained presentation of preliminary material on Brownian motion and stochastic calculus. Accessible to non-experts, graduate students and researchers can use this book to master the core techniques necessary for further study.

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Produktdetails

• Institute of Mathematical Statistics Textbooks
• Verlag: Cambridge University Press
• Seitenzahl: 250
• Erscheinungstermin: 30. November 2018
• Englisch
• Abmessung: 229mm x 152mm x 14mm
• Gewicht: 344g
• ISBN-13: 9781107611986
• ISBN-10: 1107611989
• Artikelnr.: 52424188

Autorenporträt

David Nualart is the Black-Babcock Distinguished Professor in the Department of Mathematics at the University of Kansas. He has published around 300 scientific articles in the field of probability and stochastic processes, and he is the author of the fundamental monograph The Malliavin Calculus and Related Topics (2005). He has served on the editorial board of leading journals in probability, and from 2006 to 2008 was the editor-in-chief of Electronic Communications in Probability. He was elected Fellow of the Institute of Mathematical Statistics in 1997 and he received the Higuchi Award on Basic Sciences in 2015.

Inhaltsangabe

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.