Introduction to Malliavin Calculus (Institute of Mathematical Statistics Textbooks, Series Number 9)

<p>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.</p>

Science & Math

Nualart, David

Nualart, Eulalia

Mathematics

Cambridge University Press

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Books by Nualart, Eulalia

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Introduction to Malliavin Calculus (Institute of Mathematical Statistics Textbooks, Series Number 9)

Introduction to Malliavin Calculus (Institute of Mathematical Statistics Textbooks, Series Number 9)