eBook - PDF
Malliavin Calculus for Lévy Processes and Infinite-Dimensional Brownian Motion
- 430 pages
- English
- PDF
- Available on iOS & Android
eBook - PDF
Malliavin Calculus for Lévy Processes and Infinite-Dimensional Brownian Motion
About this book
Assuming only basic knowledge of probability theory and functional analysis, this book provides a self-contained introduction to Malliavin calculus and infinite-dimensional Brownian motion. In an effort to demystify a subject thought to be difficult, it exploits the framework of nonstandard analysis, which allows infinite-dimensional problems to be treated as finite-dimensional. The result is an intuitive, indeed enjoyable, development of both Malliavin calculus and nonstandard analysis. The main aspects of stochastic analysis and Malliavin calculus are incorporated into this simplifying framework. Topics covered include Brownian motion, Ornstein–Uhlenbeck processes both with values in abstract Wiener spaces, Lévy processes, multiple stochastic integrals, chaos decomposition, Malliavin derivative, Clark–Ocone formula, Skorohod integral processes and Girsanov transformations. The careful exposition, which is neither too abstract nor too theoretical, makes this book accessible to graduate students, as well as to researchers interested in the techniques.
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Information
Table of contents
- Cover
- CAMBRIDGE TRACTS IN MATHEMATICS
- Series
- Title
- Copyright
- Dedication
- Contents
- Preface
- PART I: The fundamental principles
- PART II: An introduction to finite- and infinite-dimensional stochastic analysis
- PART III: Malliavin calculus
- Appendices: Existence of poly-saturated models
- References
- Index
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Yes, you can access Malliavin Calculus for Lévy Processes and Infinite-Dimensional Brownian Motion by Horst Osswald in PDF and/or ePUB format, as well as other popular books in Mathematics & Probability & Statistics. We have over 1.5 million books available in our catalogue for you to explore.