The Malliavin Calculus And Related Topics(1st Edition)
Authors:
David Nualart
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ISBN: 3642066518, 978-3642066511
Book publisher: Springer
Book Summary: The Malliavin calculus is an infinite-dimensional differential calculus on a Gaussian space, developed to provide a probabilistic proof to Hörmander's sum of squares theorem but has found a range of applications in stochastic analysis. This book presents the features of Malliavin calculus and discusses its main applications. This second edition includes recent applications in finance and a chapter devoted to the stochastic calculus with respect to the fractional Brownian motion.
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