Introduction to Malliavin calculus [E-Book] / David Nualart, Eulalia Nualart.
Nualart, David, (author)
Nualart, Eulalia, (author)
Cambridge : Cambridge University Press, 2018
1 online resource (xii, 236 pages)
englisch
9781139856485
9781107611986
9781107039124
Institute of Mathematical Statistics textbooks ; 9
Full Text
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.