Malliavin Calculus with Applications to Stochastic Partial Differential Equations (Fundamental Sciences)

by Marta Sanz-Sole

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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 present
  • ISBN10 1439818940
  • ISBN13 9781439818947
  • Publish Date 17 August 2005 (first published 1 January 2005)
  • Publish Status Active
  • Publish Country US
  • Imprint EPFL Press
  • Edition Digital original
  • Format eBook
  • Pages 150
  • Language English