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 Lévy 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.
ISBN: | 9781107039124 |
Publication date: | 27th September 2018 |
Author: | David (University of Kansas) Nualart, Eulalia (Universitat Pompeu Fabra, Barcelona) Nualart |
Publisher: | Cambridge University Press |
Format: | Hardback |
Pagination: | 246 pages |
Series: | Institute of Mathematical Statistics Textbooks |
Genres: |
Stochastics Calculus and mathematical analysis |