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Introduction to Malliavin Calculus

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  • Nualart,David
  • Nualart,Eulalia

Abstract

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.

Suggested Citation

  • Nualart,David & Nualart,Eulalia, 2018. "Introduction to Malliavin Calculus," Cambridge Books, Cambridge University Press, number 9781107611986, January.
    • Handle: RePEc:cup:cbooks:9781107611986
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