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The Malliavin Calculus and Related Topics - Probability and Its Applications (Hardback)
  • The Malliavin Calculus and Related Topics - Probability and Its Applications (Hardback)
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The Malliavin Calculus and Related Topics - Probability and Its Applications (Hardback)

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£69.99
Hardback 382 Pages / Published: 20/12/2005
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The Malliavin calculus is an infinite-dimensional differential calculus on a Gaussian space, developed to provide a probabilistic proof to Hoermander'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. This second edition includes recent applications in finance and a chapter devoted to the stochastic calculus with respect to the fractional Brownian motion.

Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN: 9783540283287
Number of pages: 382
Weight: 1640 g
Dimensions: 235 x 155 x 23 mm
Edition: 2nd ed. 2006


MEDIA REVIEWS

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)

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