Malliavin calculus for Lévy processes and infinite-dimensional Brownian motion : an introduction /

Malliavin calculus for Lévy processes and infinite-dimensional Brownian motion : an introduction /

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Bibliographic Details
Author / Creator:	Osswald, Horst.
Imprint:	Cambridge : Cambridge University Press, 2012.
Description:	xix, 407 pages : illustrations ; 24 cm.
Language:	English
Series:	Cambridge tracts in mathematics ; 191 Cambridge tracts in mathematics ; 191.
Subject:	Malliavin calculus. Lévy processes. Brownian motion processes. Brownian motion processes. Lévy processes. Malliavin calculus.
Format:	Print Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/8778752

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Other authors / contributors:	Osswald, Horst.
ISBN:	9781107016149 1107016142
Notes:	Includes bibliographical references and index.
Summary:	"Assuming only basic knowledge of probability theory and functional analysis, this book provides a self-contained introduction to Malliavin calculus and infinite-dimensional Brownian motion. In an effort to demystify a subject thought to be difficult, it exploits the framework of nonstandard analysis, which allows infinite-dimensional problems to be treated as finite-dimensional. The result is an intuitive, indeed enjoyable, development of both Malliavin calculus and nonstandard analysis. The main aspects of stochastic analysis and Malliavin calculus are incorporated into this simplifying framework. Topics covered include Brownian motion, Ornstein-Uhlenbeck processes both with values in abstract Wiener spaces, Lévy processes, multiple stochastic integrals, chaos decomposition, Malliavin derivative, Clark-Ocone formula, Skorohod integral processes and Girsanov transformations. The careful exposition, which is neither too abstract nor too theoretical, makes this book accessible to graduate students, as well as to researchers interested in the techniques"--

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Call Number:	QA274 .O87 2012
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