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Introduction to Malliavin calculus

By: Nualart, David.
Contributor(s): Nualart, Eulalia.
Material type: materialTypeLabelBookSeries: Institute of Mathematical Statistics Textbooks. Publisher: New York Cambridge University Press 2018Description: xii, 236 p. Includes bibliographical references and index.ISBN: 9781107611986.Subject(s): Malliavin calculus | Stochastic analysis | Derivatives - Mathematics | Calculus - variations DDC classification: 519.23 Summary: Description Contents Resources Courses About the Authors 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. Features an up-to-date treatment of the theory, including recent applications Includes basic preliminary material, making the material accessible to non-experts Presents a wide overview from different perspectives, providing strong preparation for further study https://www.cambridge.org/gb/academic/subjects/statistics-probability/probability-theory-and-stochastic-processes/introduction-malliavin-calculus?format=PB
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Slot 1404 (0 Floor, East Wing) Non-fiction 519.23 N8I6 (Browse shelf) Checked out 02/05/2020 199998

Table of Contents

Preface
1. Brownian motion
2. Stochastic calculus
3. Derivative and divergence operators
4. Wiener chaos
5. Ornstein-Uhlenbeck semigroup
6. Stochastic integral representations
7. Study of densities
8. Normal approximations
9. Jump processes
10. Malliavin calculus for jump processes I
11. Malliavin calculus for jump processes II
Appendix A. Basics of stochastic processes
References
Index.

Description Contents Resources Courses About the Authors
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.

Features an up-to-date treatment of the theory, including recent applications

Includes basic preliminary material, making the material accessible to non-experts

Presents a wide overview from different perspectives, providing strong preparation for further study

https://www.cambridge.org/gb/academic/subjects/statistics-probability/probability-theory-and-stochastic-processes/introduction-malliavin-calculus?format=PB

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