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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Detalles Bibliográficos
Autor principal: Sanz-Solé, Marta
Lenguaje:eng
Publicado: EPFL Press 2005
Materias:
Mathematical Physics and Mathematics
Acceso en línea:http://cds.cern.ch/record/1134570
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author Sanz-Solé, Marta
author_facet Sanz-Solé, Marta
author_sort Sanz-Solé, Marta
collection CERN
description 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
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institution Organización Europea para la Investigación Nuclear
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spelling cern-11345702021-04-22T01:44:29Zhttp://cds.cern.ch/record/1134570engSanz-Solé, MartaMalliavin Calculus: With Applications to Stochastic Partial Differential EquationsMathematical Physics and MathematicsDeveloped 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 itselfEPFL Pressoai:cds.cern.ch:11345702005
spellingShingle Mathematical Physics and Mathematics
Sanz-Solé, Marta
Malliavin Calculus: With Applications to Stochastic Partial Differential Equations
title Malliavin Calculus: With Applications to Stochastic Partial Differential Equations
title_full Malliavin Calculus: With Applications to Stochastic Partial Differential Equations
title_fullStr Malliavin Calculus: With Applications to Stochastic Partial Differential Equations
title_full_unstemmed Malliavin Calculus: With Applications to Stochastic Partial Differential Equations
title_short Malliavin Calculus: With Applications to Stochastic Partial Differential Equations
title_sort malliavin calculus: with applications to stochastic partial differential equations
topic Mathematical Physics and Mathematics
url http://cds.cern.ch/record/1134570
work_keys_str_mv AT sanzsolemarta malliavincalculuswithapplicationstostochasticpartialdifferentialequations

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