Malliavi隨機分析和相關論題(第2版) [The Malliavin Calculus and Related Topics]

Malliavi隨機分析和相關論題(第2版) [The Malliavin Calculus and Related Topics] 下載 mobi epub pdf 電子書 2024


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圖書介紹

齣版社: 世界圖書齣版公司
ISBN:9787510061370
版次:2
商品編碼:11321057
包裝:平裝
外文名稱:The Malliavin Calculus and Related Topics
開本:24開
齣版時間:2013-10-01
用紙:膠版紙
頁數:382
正文語種:英文


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內容簡介

  There have been ten years since the publication of the first edition of this book. Since then, new applications and developments of the Malliavin cal- culus have appeared. In preparing this second edition we have taken into account some of these new applications, and in this spirit, the book has two additional chapters that deal with the following two topics: FYactional Brownian motion and Mathematical Finance.

內頁插圖

目錄

Introduction
1 Analysis on the Wiener space
1.1 Wiener chaos and stochastic integrals
1.1.1 The Wiener chaos decomposition
1.1.2 The white noise case: Multiple Wiener-Ito integrals
1.1.3 I to stochastic calculus
1.2 The derivative operator
1.2.1 The derivative operator in the white noise case
1.3 The divergence operator
1.3.1 Properties of the divergence operator
1.3.2 The Skorohod integral
1.3.3 The Ito stochastic integral as a particular case of the Skorohod integral
1.3.4 Stochastic integral representation of Wiener functionals
1.3.5 Local properties
1.4 The Ornstein-Uhlenbeck semigroup
1.4.1 The semigroup of Ornstein-Uhlenbeck
1.4.2 The generator of the Ornstein-Uhlenbeck semigroup
1.4.3 Hypercontractivity property and the multiplier theorem
1.5 Sobolev spaces and the equivalence of norms

2 Regularity of probability laws
2.1 Regularity of densities and related topics
2.1.1 Computation and estimation of probability densities
2.1.2 A criterion for absolute continuity based on the integration-by-parts formula
2.1.3 Absolute continuity using Bouleau and Hirsch's ap proach
2.1.4 Smoothness of densities
2.1.5 Composition of tempered distributions with nonde generate random vectors
2.1.6 Properties of the support of the law
2.1.7 Regularity of the law of the maximum of continuous processes
2.2 Stochastic differential equations
2.2.1 Existence and uniqueness of solutions
2.2.2 Weak differentiability of the solution
2.3 Hypoellipticity and Hormander's theorem
2.3.1 Absolute continuity in the case of Lipschitz coefficients
2.3.2 Absolute continuity under Hormander's conditions
2.3.3 Smoothness of the density under Hormander's condition
2.4 Stochastic partial differential equations
2.4.1 Stochastic integral equations on the plane
2.4.2 Absolute continuity for solutions to the stochastic heat equation

3 Anticipating stochastic calculus
3.1 Approximation of stochastic integrals
3.1.1 Stochastic integrals defined by Riemanns
3.1.2 The approach based on the L2 developme of the process
3.2 Stochastic calculus for anticipating integrals
3.2.1 Skorohod integral processes
3.2.2 Continuity and quadratic variation of the Skorohod integral
3.2.3 I to's formula for the Skorohod and Stratonovich integrals
3.2.4 Substitution formulas
3.3 Anticipating stochastic differential equations
3.3.1 Stochastic differential equations in the Sratonovich sense
3.3.2 Stochastic differential equations with boundary con ditions
……

4 Transformations of the Wiener measure
5 Fractional Brownian motion
6 Malliavin Calculus in finance
A Appendix
References
Index

前言/序言



Malliavi隨機分析和相關論題(第2版) [The Malliavin Calculus and Related Topics] 下載 mobi epub pdf txt 電子書 格式

Malliavi隨機分析和相關論題(第2版) [The Malliavin Calculus and Related Topics] mobi 下載 pdf 下載 pub 下載 txt 電子書 下載 2024

Malliavi隨機分析和相關論題(第2版) [The Malliavin Calculus and Related Topics] 下載 mobi pdf epub txt 電子書 格式 2024

Malliavi隨機分析和相關論題(第2版) [The Malliavin Calculus and Related Topics] 下載 mobi epub pdf 電子書
想要找書就要到 圖書大百科
立刻按 ctrl+D收藏本頁
你會得到大驚喜!!

用戶評價

評分

書很難,看起來有點吃力,不過應該大師寫的,嚮大師學習。

評分

經典著作,學習malliavin分析必讀

評分

評分

學習隨機分析的好書,還有塑封

評分

不錯

評分

經典著作,學習malliavin分析必讀

評分

經典著作,學習malliavin分析必讀

評分

學習隨機分析的好書,還有塑封

評分

書很難,看起來有點吃力,不過應該大師寫的,嚮大師學習。

類似圖書 點擊查看全場最低價

Malliavi隨機分析和相關論題(第2版) [The Malliavin Calculus and Related Topics] mobi epub pdf txt 電子書 格式下載 2024


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