Malliavin calculus and related topics, the
Auteur :
Nualart, David
Éditeur :
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN :
9783540283287
Date de publication :
20 déc. 2005
Dimensions :
23,5 x 15,5 cm
Langue :
Anglais
Pays d'origine :
Allemagne
The Malliavin calculus is an infinite-dimensional differential calculus on a Gaussian space, developed to provide a probabilistic proof to Hormander's sum of squares theorem but has found a range of applications in stochastic analysis. This book presents the features of Malliavin calculus and discusses its main applications.