Malliavin Calculus with Applications to Stochastic Partial Differential Equations
ISBN: 9780429104312
Platform/Publisher: Taylor & Francis / EPFL Press
Digital rights: Users: Unlimited; Printing: Unlimited; Download: Unlimited
Subjects: Mathematics & Statistics; Advanced Mathematics; Applied Mathematics; Financial Mathematics; Analysis - Mathematics;

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


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