Introduction to Malliavin calculus
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...
Main Authors: | , |
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Format: | eBook |
Language: | English |
Published: |
Cambridge
Cambridge University Press
2018
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Series: | Institute of Mathematical Statistics textbooks
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Subjects: | |
Online Access: | |
Collection: | Cambridge Books Online - Collection details see MPG.ReNa |
Summary: | 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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Physical Description: | xii, 236 pages digital |
ISBN: | 9781139856485 |