Introduction to Malliavin Calculus

by David Nualart, Eulalia Nualart

Series: Institute of Mathematical Statistics Textbooks (No. 9)

Subject categories
ISBNs
  • 9781107611986
  • 9781108644402
  • 9781108669696
This textbook offers a compact introductory course on Malliavin calculus, an active and powerful area of research. It covers recent applications, including density formulas, regularity of probability laws, central and non-central limit theorems for Gaussian functionals, convergence of densities and non-central limit theorems for the local time of Brownian motion. The book also includes a self-contained presentation of Brownian motion and stochastic calculus, as well as Lévy processes and stochastic calculus for jump processes. Accessible to non-experts, the book can be used by graduate students and researchers to develop their mastery of the core techniques necessary for further study.

Subject categories
ISBNs
  • 9781107611986
  • 9781108644402
  • 9781108669696

In The Press

'This book is a delightful and self-contained introduction to stochastic and Malliavin calculus that will guide the graduate students in probability theory from the basics of the theory to the borders of contemporary research. It is a must read written by two globally recognized experts!' Fabrice Baudoin, University of Connecticut