Литмир - Электронная Библиотека
Литмир - Электронная Библиотека > Osswald Horst (EN) > Malliavin Calculus for Levy Processes and Infinite-Dimensional Brownian Motion
Malliavin Calculus for Levy Processes and Infinite-Dimensional Brownian Motion
Добавить похожую книгу
Advanced Options Trading
Автор: Kraus Kevin (EN)
Похожа
Непохожа
Metaaltijden 1
Похожа
Непохожа
Polymer Analysis
Похожа
Непохожа
Malliavin Calculus for Levy Processes and Infinite-Dimensional Brownian Motion
Author:Osswald Horst (EN)
A introductory fragment is available
Language of a book: Английский
Publisher: Gardners Books

    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, Levy 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.

    Поделиться:
    ]]>Facebook :0]]>  ]]>Twitter :0]]>  ]]>В контакте :0]]>  ]]>Livejournal :0]]>  ]]>Мой мир :0]]>  ]]>Gmail :0]]>  Email :0  ]]>Скачать :0]]>  
    Мой статус книги:
    Чтобы оставить свою оценку и комментарий вам нужно зайти на сайт или зарегистрироваться

    {"b":"517604","o":30}