Overview
- Can be used as a basis of a lecture course on Malliavin Calculus, because the exposition, being self-contained, is quite accessible
- Contains a great number of exercises
- A survey of the applications of Malliavin Calculus to the stochastic calculus with respect to fractional Brownian motion and to financial mathematics makes this book very useful to anyone interested in the current research in the field
- Includes supplementary material: sn.pub/extras
Part of the book series: Probability and Its Applications (PIA)
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Table of contents (8 chapters)
Keywords
About this book
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)
Authors and Affiliations
Bibliographic Information
Book Title: The Malliavin Calculus and Related Topics
Authors: David Nualart
Series Title: Probability and Its Applications
DOI: https://doi.org/10.1007/3-540-28329-3
Publisher: Springer Berlin, Heidelberg
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer-Verlag Berlin Heidelberg 2006
Hardcover ISBN: 978-3-540-28328-7Published: 20 December 2005
Softcover ISBN: 978-3-642-06651-1Published: 30 November 2010
eBook ISBN: 978-3-540-28329-4Published: 27 February 2006
Series ISSN: 1431-7028
Edition Number: 2
Number of Pages: XIV, 382