Malliavin Calculus with Applications to Stochastic Partial Differential Equations

1st Edition

Marta Sanz-Sole

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EPFL Press
Published August 17, 2005
Reference - 150 Pages
ISBN 9780429104312 - CAT# KE78250

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Summary

Developed in the 1970s to study the existence and smoothness of density for the probability laws of random vectors, Malliavin calculus--a stochastic calculus of variation on the Wiener space--has proven fruitful in many problems in probability theory, particularly in probabilistic numerical methods in financial mathematics.

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