Published for the Conference Board of the Mathematical Sciences by the American Mathematical Society with support from the National Science Foundation,
NSF-CBMS Conference on Malliavin Calculus and its Applications (2008 : Kent State University)
Notes:
"This monograph is compiled from the notes of a series of ten lectures given at the NSF-CBMS Conference on Malliavin Calculus and its Applictions at Kent State University, Ohio, August 7th to 12th, 2008"--pref. Includes bibliographical references (p. 81-83) and index.
Contents:
The derivative operator -- The divergence operator -- The Ornstein-Uhlenbeck semigroup -- Sobolev spaces and equivalence of norms -- Regularity of probability laws -- Support properties. Density of the maximum -- Application of Malliavin calculus to diffusion processes -- The divergence operator as a stochastic integral -- Central limit theorems and Malliavin calculus -- Applications of Malliavin calculus in finance.
Series:
CBMS regional conference series in mathematics ; no. 110
This resource is supported by the Institute of Museum and Library Services under the provisions of the Library Services and Technology Act as administered by State Library of Iowa.