Introduction to Malliavin calculus

By:

Nualart, David

Contributor(s):

Nualart, Eulalia

Series: Institute of Mathematical Statistics textbooks; 8Publication details: Cambridge University Press, 2018. Cambridge:Description: xii, 236 p. ; pb; 24 cmISBN:

9781107611986

Subject(s):

DDC classification:

519.23 NUA

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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Item type	Current library	Collection	Call number	Copy number	Status	Date due	Barcode
Books	IIT Gandhinagar General Stacks	General	519.23 NUA (Browse shelf(Opens below))	1	Available		029792

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Previous	519.23 BER Random fragmentation and coagulation processes	519.23 BOV Gaussian processes on trees: from spin glasses to branching Brownian motion	519.23 KAR Introduction to stochastic calculus	519.23 NUA Introduction to Malliavin calculus	519.233 BOB Generators of Markov chains: from a walk in the interior to a dance on the boundary	519.233 BOV Metastability: a potential theoretic approach	519.233 FRE Markov processes and differential equations: asymptotic problems	Next

Includes bibliographical references and index.

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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