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Introduction to Malliavin Calculus.
・ISBN 978-1-107-61198-6 paper GB£ 40.00
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| 著者・編者 | Nualart, David / Nualart, Eulalia, |
|---|---|
| シリーズ | Institute of Mathematical Statistics Textbooks |
| 出版社 | (Cambridge University Press, UK) |
| 出版年月 | 2018 |
| ページ数 | 246 pp. |
| 言語 | ENG |
| ニュース番号 | ＜M25-2567＞ |
解説
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 calculus, as well as Levy processes and stochastic calculus for jump processes. Accessible to non-experts, the book can be used by graduate students and researchers to develop their mastery of the core techniques necessary for further study.