Introduction to Malliavin Calculus Institute of Mathematical Statistics Textbooks, Series Number 9
| 1 Edition
Authors: Nualart, David,Nualart, Eulalia
ISBN:1107611989
ISBN-13: 9781107611986
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Details about Introduction to Malliavin Calculus Institute of Mathematical Statistics Textbooks, Series Number 9:
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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