Malliavin calculus : with applications to stochastic partial differential equations /
Developed in the 1970s to study the existence and smoothness of density for the probability laws of random vectors, Malliavin calculus--a stochastic calculus of variation on the Wiener space--has proven fruitful in many problems in probability theory, particularly in probabilistic numerical methods...
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| Format: | eBook |
| Language: | English |
| Published: |
Lausanne, Switzerland : Boca Raton, FL :
EPFL Press ; Distributed by CRC Press,
2005.
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| Edition: | 1st ed. |
| Series: | Fundamental sciences. Mathematics.
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| Online Access: | Connect to the full text of this electronic book |
| Summary: | Developed in the 1970s to study the existence and smoothness of density for the probability laws of random vectors, Malliavin calculus--a stochastic calculus of variation on the Wiener space--has proven fruitful in many problems in probability theory, particularly in probabilistic numerical methods in financial mathematics. This book presents applications of Malliavin calculus to the analysis of probability laws of solutions to stochastic partial differential equations driven by Gaussian noises that are white in time and coloured in space. The first five chapters introduce the calculus itself b. |
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| Physical Description: | 1 online resource (viii, 162 pages) |
| Format: | Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. |
| Bibliography: | Includes bibliographical references (pages 155-160) and index. |
| ISBN: | 9781439818947 1439818940 9782940222063 2940222061 1282109227 9781282109223 9780429104312 0429104316 |