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Malliavin Calculus for Lévy Processes and Infinite-Dimensional Brownian Motion
After functional, measure and stochastic analysis prerequisites, the author covers chaos decomposition, Skorohod integral processes, Malliavin derivative and Girsanov transformations.
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| Lenguaje: | eng |
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Cambridge University Press
2012
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| Acceso en línea: | http://cds.cern.ch/record/1438668 |