TY  - BOOK
AU  - Nualart,David
AU  - Nualart,Eulalia
TI  - Introduction to Malliavin calculus
T2  - Institute of Mathematical Statistics textbooks
SN  - 9781139856485 (ebook)
AV  - QA174.2 .N83 2018
U1  - 519.2/3 23
PY  - 2018///
CY  - Cambridge
PB  - Cambridge University Press
KW  - Malliavin calculus
KW  - Stochastic analysis
KW  - Derivatives (Mathematics)
KW  - Calculus of variations
N1  - Title from publisher's bibliographic system (viewed on 24 Sep 2018)
N2  - 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
UR  - https://doi.org/10.1017/9781139856485
ER  -