Introduction to Malliavin calculus / David Nualart, Eulalia Nualart.
Material type: TextSeries: Institute of Mathematical Statistics textbooks ; 9.Publisher: Cambridge : Cambridge University Press, 2018Description: 1 online resource (xii, 236 pages) : digital, PDF file(s)Content type:- text
- computer
- online resource
- 9781139856485 (ebook)
- 519.2/3 23
- QA174.2 .N83 2018
Title from publisher's bibliographic system (viewed on 24 Sep 2018).
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.
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