Malliavin Calculus with Applications to Stochastic Partial Differential Equations  book cover
SAVE
$12.19
1st Edition

Malliavin Calculus with Applications to Stochastic Partial Differential Equations



ISBN 9780429104312
Published August 17, 2005 by EPFL Press
150 Pages

What are VitalSource eBooks?




Prices & shipping based on shipping country


Preview

Book Description

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 present

Table of Contents

Introduction. Integration by Parts and Absolute Continuity of Probability Laws. Finite Dimensional Malliavin Calculus. The Basic Operators of Malliavin Calculus. Representation of Wiener Functionals. Criteria for Absolute Continuity and Smoothness of Probability Laws. Stochastic Partial Differential Equations driven by Spatially Homogenous Gaussian Noise. Malliavin Regularity of Solutions of SPDEs. Analysis of the Malliavin Matrix of Solutions of SPDEs. Definition of Spaces Used Throughout the Course.

...
View More