Overview
There have been ten years since the publication of the ?rst edition of this book. Since then, new applications and developments of the Malliavin c- culus have appeared. In preparing this second edition we have taken into account some of these new applications, and in this spirit, the book has two additional chapters that deal with the following two topics: Fractional Brownian motion and Mathematical Finance. The presentation of the Malliavin calculus has been slightly modi?ed at some points, where we have taken advantage of the material from the lecturesgiveninSaintFlourin1995(seereference[248]).Themainchanges and additional material are the following: In Chapter 1, the derivative and divergence operators are introduced in the framework of an isonormal Gaussian process associated with a general 2 Hilbert space H. The case where H is an L -space is trated in detail aft- s,p wards (white noise case). The Sobolev spaces D , with s is an arbitrary real number, are introduced following Watanabe’s work. Chapter2includesageneralestimateforthedensityofaone-dimensional random variable, with application to stochastic integrals. Also, the c- position of tempered distributions with nondegenerate random vectors is discussed following Watanabe’s ideas. This provides an alternative proof of the smoothness of densities for nondegenerate random vectors. Some properties of the support of the law are also presented.
Full Product Details
Author: David Nualart
Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Imprint: Springer-Verlag Berlin and Heidelberg GmbH & Co. K
Edition: 2nd ed. 2006
Dimensions:
Width: 15.50cm
, Height: 2.30cm
, Length: 23.50cm
Weight: 1.640kg
ISBN: 9783540283287
ISBN 10: 3540283285
Pages: 382
Publication Date: 20 December 2005
Audience:
College/higher education
,
Undergraduate
,
Postgraduate, Research & Scholarly
Format: Hardback
Publisher's Status: Active
Availability: In Print
This item will be ordered in for you from one of our suppliers. Upon receipt, we will promptly dispatch it out to you. For in store availability, please contact us.
Reviews
From the reviews of the second edition: Nualart's book serves both pedagogic and research needs. On the one hand, it is written to teach the subject. ... On the other hand, the applications in the book are sufficiently broad and in depth that the reader who masters them should be prepared for research. ... Furthermore, the unified approach and the careful statement of technical results in the development of the applications make the text a handy reference for researchers. ... The bibliography is extensive and has been updated. (Daniel Ocone, Mathematical Reviews, Issue 2006 j)
From the reviews of the second edition: Nualart's book serves both pedagogic and research needs. On the one hand, it is written to teach the subject. ! On the other hand, the applications in the book are sufficiently broad and in depth that the reader who masters them should be prepared for research. ! Furthermore, the unified approach and the careful statement of technical results in the development of the applications make the text a handy reference for researchers. ! The bibliography is extensive and has been updated. (Daniel Ocone, Mathematical Reviews, Issue 2006 j)
