# Mallivin calculus; with applications to stochastic partial differential equations.

0849340306

Mallivin calculus; with applications to stochastic partial differential equations.

Sanz-Sole, Marta.

CRC Press

2005

162 pages

$84.95

Hardcover

QA274

Malliavin calculus is a stochastic calculus of variations on the Weiner space that is currently influencing research developments in probability and infinite-dimensional analysis, and is to be found in the study of probabilistic methods of mathematical models in finance. Sanz-Sole (mathematics, U. of Barcelona) covers the integration by parts and absolute continuity of probability laws, finite dimensional Malliavin calculus, representations of Weiner functions, the criteria for absolute continuity and smoothness of probability laws, stochastic partial differential equations driven by spatially homogeneous Gaussian noise, Malliavin regularity of solutions of stochastic backward differential equations (SPDEs) and analysis of the Malliavin matrix of solutions of SPDEs. She includes examples and exercises.

([c] 2005 Book News, Inc., Portland, OR)

Mallivin calculus; with applications to stochastic partial differential equations.

Sanz-Sole, Marta.

CRC Press

2005

162 pages

$84.95

Hardcover

QA274

Malliavin calculus is a stochastic calculus of variations on the Weiner space that is currently influencing research developments in probability and infinite-dimensional analysis, and is to be found in the study of probabilistic methods of mathematical models in finance. Sanz-Sole (mathematics, U. of Barcelona) covers the integration by parts and absolute continuity of probability laws, finite dimensional Malliavin calculus, representations of Weiner functions, the criteria for absolute continuity and smoothness of probability laws, stochastic partial differential equations driven by spatially homogeneous Gaussian noise, Malliavin regularity of solutions of stochastic backward differential equations (SPDEs) and analysis of the Malliavin matrix of solutions of SPDEs. She includes examples and exercises.

([c] 2005 Book News, Inc., Portland, OR)

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Publication: | SciTech Book News |
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Article Type: | Book Review |

Date: | Dec 1, 2005 |

Words: | 136 |

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