Main The Malliavin calculus
The Malliavin calculus cover

The Malliavin calculus

4.0 / 5.0
0 comments
This introduction to Malliavin's stochastic calculus of variations is suitable for graduate students and professional mathematicians. Author Denis R. Bell particularly emphasizes the problem that motivated the subject's development, with detailed accounts of the different forms of the theory developed by Stroock and Bismut, discussions of the relationship between these two approaches, and descriptions of a variety of applications.The first chapter covers enough technical background to make the subsequent material accessible to readers without specialized knowledge of stochastic analysis. Succeeding chapters examine the functional analytic and variational approaches (with extensive explorations of the work of Stroock and Bismut); and elementary derivation of Malliavin's inequalities and a discussion of the different forms of the theory; and the non-degeneracy of the covariance matrix under Hormander's condition. The text concludes with a brief survey of applications of the Malliavin calculus to problems other than Hormander's.
Request Code : ZLIBIO1414786
Categories:
Year:
1987
Edition:
1st
Publisher:
Longman Higher Education
Language:
English
Pages:
115
ISBN 10:
0582994861
ISBN 13:
0-470-20749-3
ISBN:
0582994861,9780582994867,0-470-20749-3
Series:
Pitman Monographs & Surveys in Pure & Applied Mathematics 34

Comments of this book

There are no comments yet.