Introduction to Malliavin Calculus

by David Nualart and Eulalia Nualart

Book Overview

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...

• Format: Hardcover
• Language: English
• ISBN: 1107039126
• ISBN13: 9781107039124
• Release Date: September 2018
• Publisher: Cambridge University Press
• Length: 246 Pages
• Weight: 1.03 lbs.
• Dimensions: 0.7" x 6.7" x 9.3"