The Malliavin Calculus and Related Topics

David Nualart (Autor)

Buch | Softcover

XIV, 382 Seiten

2010 | 2. Softcover reprint of hardcover 2nd ed. 2006
Springer Berlin (Verlag)
978-3-642-06651-1 (ISBN)

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There have been ten years since the publication of the ?rst 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 modi?ed 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. Chapter2includesageneralestimateforthedensityofaone-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.

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.

From the reviews of the second edition:

"Nualart's book serves both pedagogic and research needs. On the one hand, it is written to teach the subject. ... On the other hand, the applications in the book are sufficiently broad and in depth that the reader who masters them should be prepared for research. ... Furthermore, the unified approach and the careful statement of technical results in the development of the applications make the text a handy reference for researchers. ... The bibliography is extensive and has been updated." (Daniel Ocone, Mathematical Reviews, Issue 2006 j)

Erscheint lt. Verlag	30.11.2010
Reihe/Serie	Probability and Its Applications
Zusatzinfo	XIV, 382 p.
Verlagsort	Berlin
Sprache	englisch
Maße	155 x 235 mm
Gewicht	597 g
Themenwelt	Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik
Schlagworte	Anticipating stochastic calculus • Brownian motion • Fractional Brownian motion • Gaussian processes • Girsanov theorem • Malliavin calculus • Markov Processes • Markov Property • MSC (2000): 60H07, 60H10, 60H15, 60-02 • Skorohod integral • Stochastic differential equations • stochastic partial differential equations
ISBN-10	3-642-06651-8 / 3642066518
ISBN-13	978-3-642-06651-1 / 9783642066511
Zustand	Neuware