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Introduction to Malliavin Calculus

Introduction to Malliavin Calculus

Paperback

Series: Institute of Mathematical Statistics Textbooks, Book 9

Probability & Statistics

ISBN10: 1107611989
ISBN13: 9781107611986
Publisher: Cambridge
Published: Sep 27 2018
Pages: 246
Weight: 0.76
Height: 0.57 Width: 6.42 Depth: 8.98
Language: English
This textbook offers a compact introductory course on Malliavin calculus, an active and powerful area of research. It covers recent applications, including density formulas, regularity of probability laws, central and non-central limit theorems for Gaussian functionals, convergence of densities and non-central limit theorems for the local time of Brownian motion. The book also includes a self-contained presentation of Brownian motion and stochastic calculus, as well as Lévy processes and stochastic calculus for jump processes. Accessible to non-experts, the book can be used by graduate students and researchers to develop their mastery of the core techniques necessary for further study.

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