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Malliavin calculus and its applications.


Malliavin calculus and its applications.

Nualart, David.

American Mathematical Society


85 pages



CBMS regional conference series in mathematics; no.110


Paul Malliavin developed the stochastic calculus of variations that bears his name in 1976 primarily to establish the regularity of the probability distribution of functionals of an underlying Gaussian process. Since then it has proven to be a powerful tool for a variety of problems in stochastic analysis. Nualart has prepared this monograph from his notes for ten lectures he delivered at the conference, held at Kent State University, Ohio, in August 2008. In order to demonstrate applications, he concentrates on a Gaussian family of random variables associated with an arbitrary separable Hilbert space. Some of the examples are barely mentioned, but he provides full references for readers who want more.

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Title Annotation:CBMS regional conference series in mathematics, no. 110
Publication:SciTech Book News
Article Type:Brief article
Date:Jun 1, 2009
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