Introduction to Malliavin Calculus (Hardcover) (ISBN-13: 9781107039124)

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 L騅y 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.

Author: David Nualart, Eulalia Nualart
ISBN-10: 1107039126
ISBN-13: 9781107039124
Publisher: Cambridge University Press
Language: English
Published: 09/27/2018
Pages: 246
Format: Hardcover
Weight: 1.03lbs
Size: 9.27h x 6.66w x 0.71d