Malliavin calculus and its applications / David Nualart.

Format:

Book

Conference/Event

Author/Creator:

Nualart, David, 1951- author.

Conference Name:

NSF-CBMS Conference on Malliavin Calculus and its Applications (2008 : Kent State University)

Series:

Regional conference series in mathematics ; no. 110.

CBMS Regional Conference Series in Mathematics, 2380-5668 ; v. 110

Language:

English

Subjects (All):

Malliavin calculus--Congresses.

Malliavin calculus.

Calculus of variations--Congresses.

Calculus of variations.

Physical Description:

1 online resource (viii, 85 pages)

Place of Publication:

Providence, R.I. : Published for the Conference Board of the Mathematical Sciences by the American Mathematical Society with support from the National Science Foundation, c2009.

System Details:

Mode of access : World Wide Web

Contents:

Chapter 1. The derivative operator Chapter 2. The divergence operator Chapter 3. The Ornstein-Uhlenbeck semigroup Chapter 4. Sobolev spaces and equivalence of norms Chapter 5. Regularity of probability laws Chapter 6. Support properties. Density of the maximum Chapter 7. Application of Malliavin calculus to diffusion processes Chapter 8. The divergence operator as a stochastic integral Chapter 9. Central limit theorems and Malliavin calculus Chapter 10. Applications of Malliavin calculus in finance

Notes:

"This monograph is compiled from the notes of a series of ten lectures given at the NSF-CBMS Conference on Malliavin Calculus and its Applictions at Kent State University, Ohio, August 7th to 12th, 2008"--P. vii.

Includes bibliographical references (pages 81-83) and index.

Electronic reproduction. Providence, Rhode Island : American Mathematical Society. 2012

Description based on print version record.

Other Format:

Print version: Nualart, David, 1951- Malliavin calculus and its applications /

ISBN:

9781470415686 (online)

Access Restriction:

Restricted for use by site license.