The Malliavin calculus and related topics
There have been ten years since the publication of the first 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 a...
Zapisane w:
| 1. autor: | |
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| Format: | Livre numérique |
| Język: | Anglais |
| Wydane: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
[20..].
Cham : Springer Nature |
| Wydanie: | 2nd edition. |
| Seria: | Probability and its applications
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| Hasła przedmiotowe: | |
| Dostęp online: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
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Description d'après consultation du 28 avril 2011 Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • The Malliavin Calculus and Related Topics, Texte imprimé, 9783540814320 • The Malliavin calculus and related topics, David Nualart, 2nd edition, 2006, Berlin, Springer, 1 vol. (XIV-382 pages), Probability and its applications, 3-540-28328-5 • The Malliavin Calculus and Related Topics, Texte imprimé, 9783540283287 |
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| 100 | 1 | |a Nualart, David, |d 1951-...., |c mathématicien. | |
| 245 | 1 | 0 | |a The Malliavin calculus and related topics |c David Nualart. |
| 250 | |a 2nd edition. | ||
| 260 | |a Berlin, Heidelberg : |b Springer Berlin Heidelberg. | ||
| 260 | |a Cham : |b Springer Nature, |c [20..]. | ||
| 490 | 0 | |a Probability and its applications | |
| 500 | |a Description d'après consultation du 28 avril 2011 | ||
| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 504 | |a Bibliogr. p. [357]-375. Index | ||
| 505 | 1 | |a Analysis on the Wiener space Regularity of probability laws Anticipating stochastic calculus Transformations of the Wiener measure Fractional Brownian motion Malliavin Calculus in finance Malliavin Calculus in finance | |
| 506 | |a Accès en ligne pour les établissements français bénéficiaires des licences nationales | ||
| 506 | |a Accès soumis à abonnement pour tout autre établissement | ||
| 506 | |a Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. https://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 | ||
| 520 | |a There have been ten years since the publication of the first 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 modified 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 Watanabe s work. Chapter 2 includes a general estimate for the density of a one-dimensional random variable, with application to stochastic integrals. Also, the c- position of tempered distributions with nondegenerate random vectors is discussed following Watanabe s 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 | ||
| 650 | |a Calcul de Malliavin | ||
| 650 | |a Calcul des variations | ||
| 776 | 0 | |t The Malliavin Calculus and Related Topics |b Texte imprimé |z 9783540814320 | |
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| 776 | 0 | |t The Malliavin Calculus and Related Topics |b Texte imprimé |z 9783540283287 | |
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