Introduction to Malliavin Calculus
Part of Institute of Mathematical Statistics Textbooks
- Authors:
- David Nualart, University of Kansas
- Eulalia Nualart, Universitat Pompeu Fabra, Barcelona
- Date Published: November 2018
- availability: Available
- format: Paperback
- isbn: 9781107611986
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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.
Read more- Features an up-to-date treatment of the theory, including recent applications
- Includes basic preliminary material, making the material accessible to non-experts
- Presents a wide overview from different perspectives, providing strong preparation for further study
Reviews & endorsements
'This book is a delightful and self-contained introduction to stochastic and Malliavin calculus that will guide the graduate students in probability theory from the basics of the theory to the borders of contemporary research. It is a must read written by two globally recognized experts!' Fabrice Baudoin, University of Connecticut
See more reviews'Malliavin calculus has seen a great revival of interest in recent years, after the discovery about ten years ago that Stein's method for probabilistic approximation and Malliavin calculus fit together admirably well. Such an interaction has led to some remarkable limit theorems for Gaussian, Poisson and Rademacher functionals. This monograph, written by two internationally renowned specialists of the field, provides a concise, self-contained and very pleasant exposition of different aspects of this rich and recent line of research. For sure, it is destined to quickly become a must-have reference book!' Ivan Nourdin, University of Luxembourg
'The book provides a concise and self-contained exposition of the subject including recent developments.' Maria Gordina, MathSciNet
'The book is written very clearly and precisely, and will be useful to anyone who wants to study the Malliavin calculus and its applications at the introductory level and then more deeply, as well as those who are ready to apply these results in their research. The book can be used to give lectures for graduate students.' Yuliya S. Mishura, zbMath
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×Product details
- Date Published: November 2018
- format: Paperback
- isbn: 9781107611986
- length: 246 pages
- dimensions: 228 x 152 x 13 mm
- weight: 0.34kg
- availability: Available
Table of Contents
Preface
1. Brownian motion
2. Stochastic calculus
3. Derivative and divergence operators
4. Wiener chaos
5. Ornstein-Uhlenbeck semigroup
6. Stochastic integral representations
7. Study of densities
8. Normal approximations
9. Jump processes
10. Malliavin calculus for jump processes I
11. Malliavin calculus for jump processes II
Appendix A. Basics of stochastic processes
References
Index.
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