Malliavin calculus and its applications / David Nualart
出版項
Providence, R.I. : Published for the Conference Board of the Mathematical Sciences by the American Mathematical Society with support from the National Science Foundation, c2009
"This monograph is compiled from the notes of a series of ten lectures given at the NSF-CBMS Conference on Malliavin Calculus and its Applictions at Kent State University, Ohio, August 7th to 12th, 2008"--P. vii
Includes bibliographical references (p. 81-83) and index
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
