Malliavin calculus for Lévy processes and infinite-dimensional Brownian motion : an introduction

Machine generated contents note: 1. Preface; 2. Martingales; 3. Fourier and Laplace transformations; 4. Abstract Wiener-Fréchet 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; 9. Topology; 10. Measure and integration on Loeb spaces; 11. From finite- to infinite-dimensional Brownian motion; 12. The Itô integral for infinite-dimensional Brownian motion; 13. Multiple integrals; 14. Infinite-dimensional Ornstein-Uhlenbeck processes; 15. Lindstrøm's construction of standard Lévy processes from discrete ones; 16. Stochastic integration for Lévy processes; 17. Chaos decomposition (for infinite-dimensional Brownian motion); 18. The Malliavin derivative; 19. The Skorohod integral; 20. The interplay between derivative and integral; 21. Skorohod integral processes; 22. Girsanov transformations; 23. Malliavin calculus for Lévy processes (Chaos, Malliavin derivative, Clark-Ocone formula, Skorohod integral processes, Smooth representations, a communication rule for derivative and limit, product-, chainrule, Girsanov transformations); 24. Poly-saturated models; 25. The existence of poly-saturated models; References; Index

著者

Osswald, Horst

出版社

Cambridge University Press

発売日

2012年1月発売

価格

価格未定（税込・書誌情報提供：openBD）

ISBN

9781107016149

発売済み