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The Malliavin calculus is an infinite-dimensional differential calculus on a Gaussian space, developed to provide a probabilistic proof to Hörmander's sum of squares theorem but has found a range of applications in stochastic analysis. This book presents the features of Malliavin calculus and discusses its main applications. This second edition includes recent applications in finance and a chapter devoted to the stochastic calculus with respect to the fractional Brownian motion.
Author(s): David Nualart
Series: Probability and Its Applications
Edition: 2nd ed.
Publisher: Springer
Year: 2005
Language: English
Pages: 389
City: Berlin