Selected topics in Malliavin calculus : chaos, divergence and so much more / Laurent Decreusefond.

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Selected topics in Malliavin calculus : chaos, divergence and so much more / Laurent Decreusefond.

9783031013119 (electronic bk.)
3031013115 (electronic bk.)
9783031013102
3031013107

Cham : Springer, [2022]

©2022

English

1 online resource : illustrations (some color).

10.1007/978-3-031-01311-9 doi

QA274.2

519.2

This book is not a research monograph about Malliavin calculus with the latest results and the most sophisticated proofs. It does not contain all the results which are known even for the basic subjects which are addressed here. The goal was to give the largest possible variety of proof techniques. For instance, we did not focus on the proof of concentration inequality for functionals of the Brownian motion, as it closely follows the lines of the analog result for Poisson functionals. This book grew from the graduate courses I gave at Paris-Sorbonne and Paris-Saclay universities, during the last few years. It is supposed to be as accessible as possible for students who have knowledge of Ito calculus and some rudiments of functional analysis.

Includes bibliographical references and index.

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Online resource; title from PDF title page (SpringerLink, viewed June 29, 2022).

Bocconi & Springer series ; 10.

Print version: 9783031013102

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