Introduction to Malliavin Calculus
Book Details
Format
Paperback / Softback
Book Series
Institute of Mathematical Statistics Textbooks
ISBN-10
1107611989
ISBN-13
9781107611986
Publisher
Cambridge University Press
Imprint
Cambridge University Press
Country of Manufacture
US
Country of Publication
GB
Publication Date
Sep 27th, 2018
Print length
246 Pages
Weight
344 grams
Dimensions
15.30 x 22.80 x 1.30 cms
Product Classification:
Calculus & mathematical analysisStochastics
Ksh 6,850.00
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This textbook offers a compact introduction to Malliavin calculus. It covers recent applications, and includes a self-contained presentation of preliminary material on Brownian motion and stochastic calculus. Accessible to non-experts, graduate students and researchers can use this book to master the core techniques necessary for further study.
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.
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