Malliavin Calculus for Lévy Processes and Infinite-Dimensional Brownian Motion (Cambridge Tracts in Mathematics, Band 191) - Hardcover

Horst Osswald

Hardcover

ISBN 10: 1107016142 ISBN 13: 9781107016149

Verlag: Cambridge University Press, 2012

Inhaltsangabe

"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, itexploits 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, Lâevy 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"--

Über diesen Titel

Über die Autorin bzw. den Autor

Horst Osswald is a Professor of Mathematics at Universität München.

Details zur Ausgabe

• Verlag: Cambridge University Press
• Erscheinungsdatum: 2012
• Sprache: Englisch
• ISBN 10: 1107016142
• ISBN 13: 9781107016149
• Einband: Gebundene Ausgabe
• Anzahl der Seiten: 350
• Kontakt zum Hersteller: Nicht verfügbar
• Verantwortliche Person: Avery; https://www.avery.fr/; ; chemin des peupliers 27; Dardilly; Frankreich