Fundamental Sciences

1 total work

Malliavin Calculus with Applications to Stochastic Partial Differential Equations

by Marta Sanz-Sole

Published 1 January 2005

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