Malliavin calculus for Levy processe...
Osswald, Horst.

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  • Malliavin calculus for Levy processes and infinite-dimensional Brownian motion = an introduction /
  • 紀錄類型: 書目-電子資源 : Monograph/item
    正題名/作者: Malliavin calculus for Levy processes and infinite-dimensional Brownian motion/ Horst Osswald.
    其他題名: an introduction /
    其他題名: Malliavin Calculus for Levy Processes & Infinite-Dimensional Brownian Motion
    作者: Osswald, Horst.
    出版者: Cambridge :Cambridge University Press, : 2012.,
    面頁冊數: xix, 407 p. :ill., digital ;24 cm.
    附註: Title from publisher's bibliographic system (viewed on 05 Oct 2015).
    內容註: Martingales -- Fourier and Laplace transformations -- Abstract Wiener-Frechet spaces -- Two concepts of no-anticipation in time -- Malliavin calculus on the space of real sequences -- Introduction to poly-saturated models of mathematics -- Extension of the real numbers -- Topology -- Measure and integration on Loeb spaces -- From finite- to infinite-dimensional Brownian motion -- The Ito integral for infinite-dimensional Brownian motion -- Multiple integrals -- Infinite-dimensional Ornstein-Uhlenbeck processes -- Lindstrom's construction of standard Levy processes from discrete ones -- Stochastic integration for Levy processes -- Chaos decomposition (for infinite-dimensional Brownian motion) -- The Malliavin derivative -- The Skorohod integral -- The interplay between derivative and integral -- Skorohod integral processes -- Girsanov transformations -- Malliavin calculus for Levy processes (Chaos, Malliavin derivative, Clark-Ocone formula, Skorohod integral processes, Smooth representations, a communication rule for derivative and limit, product-, chainrule, Girsanov transformations) -- Poly-saturated models -- The existence of poly-saturated models.
    標題: Malliavin calculus. -
    電子資源: https://doi.org/10.1017/CBO9781139060110
    ISBN: 9781139060110
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W9396619 電子資源 11.線上閱覽_V 電子書 EB QA274 .O87 2012 一般使用(Normal) 在架 0
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