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020 _a9783540283294
_99783540283294
024 7 _a10.1007/3540283293
_2doi
035 _avtls000347136
039 9 _a201509030728
_bVLOAD
_c201404121339
_dVLOAD
_c201404091116
_dVLOAD
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_zstaff
040 _aMX-SnUAN
_bspa
_cMX-SnUAN
_erda
050 4 _aQA273.A1-274.9
100 1 _aNualart, David.
_eautor
_9327257
245 1 4 _aThe Malliavin Calculus and Related Topics /
_cby David Nualart.
264 1 _aBerlin, Heidelberg :
_bSpringer Berlin Heidelberg,
_c2006.
300 _axiv, 382 páginas
_brecurso en línea.
336 _atexto
_btxt
_2rdacontent
337 _acomputadora
_bc
_2rdamedia
338 _arecurso en línea
_bcr
_2rdacarrier
347 _aarchivo de texto
_bPDF
_2rda
490 0 _aProbability, its Applications,
_x1431-7028
500 _aSpringer eBooks
505 0 _aAnalysis on the Wiener space -- Regularity of probability laws -- Anticipating stochastic calculus -- Transformations of the Wiener measure -- Fractional Brownian motion -- Malliavin Calculus in finance -- Malliavin Calculus in finance.
520 _aThe Malliavin calculus (or stochastic calculus of variations) is an infinite-dimensional differential calculus on a Gaussian space. Originally, it was developed to provide a probabilistic proof to Hörmander's "sum of squares" theorem, but it has found a wide range of applications in stochastic analysis. This monograph presents the main features of the Malliavin calculus and discusses in detail its main applications. The author begins by developing the analysis on the Wiener space, and then uses this to establish the regularity of probability laws and to prove Hörmander's theorem. The regularity of the law of stochastic partial differential equations driven by a space-time white noise is also studied. The subsequent chapters develop the connection of the Malliavin with the anticipating stochastic calculus, studying anticipating stochastic differential equations and the Markov of solutions to stochastic differential equations with boundary conditions. The second edition of this monograph includes recent applications of the Malliavin calculus in finance and a chapter devoted to the stochastic calculus with respect to the fractional Brownian motion.
590 _aPara consulta fuera de la UANL se requiere clave de acceso remoto.
710 2 _aSpringerLink (Servicio en línea)
_9299170
776 0 8 _iEdición impresa:
_z9783540283287
856 4 0 _uhttp://remoto.dgb.uanl.mx/login?url=http://dx.doi.org/10.1007/3-540-28329-3
_zConectar a Springer E-Books (Para consulta externa se requiere previa autentificación en Biblioteca Digital UANL)
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