Malliavin Calculus with Applications to Stochastic Partial Differential Equations

Malliavin Calculus with Applications to Stochastic Partial Differential Equations

Autore: Marta Sanz-Sole
Editore: CRC Press
Edizione: 1
Data di pubblicazione: 2005
ISBN: 0849340306

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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

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