The Malliavin Calculus and Related Topics

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Sprache: Englisch

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Beschreibung

There have been ten years since the publication of the ?rst edition of this book. Since then, new applications and developments of the Malliavin c- culus have appeared. In preparing this second edition we have taken into account some of these new applications, and in this spirit, the book has two additional chapters that deal with the following two topics: Fractional Brownian motion and Mathematical Finance. The presentation of the Malliavin calculus has been slightly modi?ed at some points, where we have taken advantage of the material from the lecturesgiveninSaintFlourin1995(seereference[248]).Themainchanges and additional material are the following: In Chapter 1, the derivative and divergence operators are introduced in the framework of an isonormal Gaussian process associated with a general 2 Hilbert space H. The case where H is an L -space is trated in detail aft- s,p wards (white noise case). The Sobolev spaces D , with s is an arbitrary real number, are introduced following Watanabe¿s work. Chapter2includesageneralestimateforthedensityofaone-dimensional random variable, with application to stochastic integrals. Also, the c- position of tempered distributions with nondegenerate random vectors is discussed following Watanabe¿s ideas. This provides an alternative proof of the smoothness of densities for nondegenerate random vectors. Some properties of the support of the law are also presented.

Zusammenfassung

Can be used as a basis of a lecture course on Malliavin Calculus, because the exposition, being self-contained, is quite accessible
Contains a great number of exercises
A survey of the applications of Malliavin Calculus to the stochastic calculus with respect to fractional Brownian motion and to financial mathematics makes this book very useful to anyone interested in the current research in the field

Inhaltsverzeichnis

Analysis 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.

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