Malliavin Calculus and Its Applications
- ISBN-10
- 0821883372
- ISBN-13
- 9780821883372
- Category
- Mathematics
- Pages
- 99
- Language
- English
- Publisher
- American Mathematical Soc.
- Author
- David Nualart
Description
The derivative operator The divergence operator The Ornstein-Uhlenbeck semigroup Sobolev spaces and equivalence of norms Regularity of probability laws Support properties. Density of the maximum Application of Malliavin calculus to diffusion processes The divergence operator as a stochastic integral Central limit theorems and Malliavin calculus Applications of Malliavin calculus in finance Bibliography Index
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