Malliavin Calculus

Malliavin Calculus
Author :
Publisher : EPFL Press
Total Pages : 184
Release :
ISBN-10 : 2940222061
ISBN-13 : 9782940222063
Rating : 4/5 (61 Downloads)

Book Synopsis Malliavin Calculus by : Marta Sanz Solé

Download or read book Malliavin Calculus written by Marta Sanz Solé and published by EPFL Press. This book was released on 2005-01-01 with total page 184 pages. Available in PDF, EPUB and Kindle. Book excerpt: Developed in the 1970s to study the existence and smoothness of density for the probability laws of random vectors, Malliavin calculus--a stochastic calculus of variation on the Wiener space--has proven fruitful in many problems in probability theory, particularly in probabilistic numerical methods in financial mathematics. This book presents applications of Malliavin calculus to the analysis of probability laws of solutions to stochastic partial differential equations driven by Gaussian noises that are white in time and coloured in space. The first five chapters introduce the calculus itself b.


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