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Malliavin Calculus for Levy Processes and Infinite-Dimensional Brownian Motion Horst Osswald (Universitat Munchen)

Malliavin Calculus for Levy Processes and Infinite-Dimensional Brownian Motion By Horst Osswald (Universitat Munchen)

Malliavin Calculus for Levy Processes and Infinite-Dimensional Brownian Motion by Horst Osswald (Universitat Munchen)


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Summary

Assuming only basic knowledge of probability theory and functional analysis, this book is an ideal introduction to the field. The author's careful exposition, which is neither too abstract nor too theoretical, makes it accessible to graduate students, as well as to researchers who are interested in the author's techniques.

Malliavin Calculus for Levy Processes and Infinite-Dimensional Brownian Motion Summary

Malliavin Calculus for Levy Processes and Infinite-Dimensional Brownian Motion by Horst Osswald (Universitat Munchen)

Assuming only basic knowledge of probability theory and functional analysis, this book provides a self-contained introduction to Malliavin calculus and infinite-dimensional Brownian motion. In an effort to demystify a subject thought to be difficult, it exploits the framework of nonstandard analysis, which allows infinite-dimensional problems to be treated as finite-dimensional. The result is an intuitive, indeed enjoyable, development of both Malliavin calculus and nonstandard analysis. The main aspects of stochastic analysis and Malliavin calculus are incorporated into this simplifying framework. Topics covered include Brownian motion, Ornstein-Uhlenbeck processes both with values in abstract Wiener spaces, Levy processes, multiple stochastic integrals, chaos decomposition, Malliavin derivative, Clark-Ocone formula, Skorohod integral processes and Girsanov transformations. The careful exposition, which is neither too abstract nor too theoretical, makes this book accessible to graduate students, as well as to researchers interested in the techniques.

Malliavin Calculus for Levy Processes and Infinite-Dimensional Brownian Motion Reviews

'This book provides a self-contained exposition of Malliavin calculus for infinite-dimensional Brownian motion and for Levy processes using nonstandard analysis techniques. This approach provides [an] alternative to the classical literature on the subject.' Anthony Reveillac, Mathematical Reviews
'In addition to being self-contained, this book remains at an accessible level despite the amount of material to be assimilated on the *-extension of real numbers. It covers the main aspects of the Malliavin calculus and succeeds in providing a good global understanding ...' Zentralvlatt MATH

About Horst Osswald (Universitat Munchen)

Horst Osswald is a Professor of Mathematics at Universitat Munchen.

Table of Contents

Part I. The Fundamental Principles: 1. Preface; 2. Martingales; 3. Fourier and Laplace transformations; 4. Abstract Wiener-Frechet spaces; 5. Two concepts of no-anticipation in time; 6. Malliavin calculus on the space of real sequences; 7. Introduction to poly-saturated models of mathematics; 8. Extension of the real numbers and properties; 9. Topology; 10. Measure and integration on Loeb spaces; Part II. An Introduction to Finite- and Infinite-Dimensional Stochastic Analysis: 11. From finite- to infinite-dimensional Brownian motion; 12. The Ito integral for infinite-dimensional Brownian motion; 13. The iterated integral; 14. Infinite-dimensional Ornstein-Uhlenbeck processes; 15. Lindstrom's construction of standard Levy processes from discrete ones; 16. Stochastic integration for Levy processes; Part III. Malliavin Calculus: 17. Chaos decomposition; 18. The Malliavin derivative; 19. The Skorokhod integral; 20. The interplay between derivative and integral; 21. Skorokhod integral processes; 22. Girsanov transformation; 23. Malliavin calculus for Levy processes; Appendix A. Poly-saturated models; Appendix B. The existence of poly-saturated models; References; Index.

Additional information

GOR013331538
9781107016149
1107016142
Malliavin Calculus for Levy Processes and Infinite-Dimensional Brownian Motion by Horst Osswald (Universitat Munchen)
Used - Like New
Hardback
Cambridge University Press
2012-03-01
428
N/A
Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
The book has been read, but looks new. The book cover has no visible wear, and the dust jacket is included if applicable. No missing or damaged pages, no tears, possible very minimal creasing, no underlining or highlighting of text, and no writing in the margins

Customer Reviews - Malliavin Calculus for Levy Processes and Infinite-Dimensional Brownian Motion