Malliavin Calculus for Lévy Processes and Infinite-Dimensional Brownian Motion
Malliavin Calculus for Lévy Processes and Infinite-Dimensional Brownian Motion
AUD$123.95
inc GSTAssuming only basic knowledge of probability theory and functional analysis, this book provides a self-contained introduction to Malliavin calculus and infinite-dimensional Brownian motion. In an effort to demystify a subject thought to be difficult, it exploits the framework of nonstandard analysis, which allows infinite-dimensional problems to be treated as finite-dimensional. The result is an intuitive, indeed enjoyable, development of both Malliavin calculus and nonstandard analysis. The main aspects of stochastic analysis and Malliavin calculus are incorporated into this simplifying framework. Topics covered include Brownian motion, Ornstein–Uhlenbeck processes both with values in abstract Wiener spaces, Lévy processes, multiple stochastic integrals, chaos decomposition, Malliavin derivative, Clark–Ocone formula, Skorohod integral processes and Girsanov transformations. The careful exposition, which is neither too abstract nor too theoretical, makes this book accessible to graduate students, as well as to researchers interested in the techniques.
- Covers all the main aspects of stochastic analysis
- A complex subject made accessible to graduate students
- Very few prerequisites
Reviews & endorsements
'This book provides a self-contained exposition of Malliavin calculus for infinite-dimensional Brownian motion and for Lévy processes using nonstandard analysis techniques. This approach provides [an] alternative to the classical literature on the subject.' Anthony Réveillac, Mathematical Reviews
'In addition to being self-contained, this book remains at an accessible level despite the amount of material to be assimilated on the *-extension of real numbers. It covers the main aspects of the Malliavin calculus and succeeds in providing a good global understanding …' Zentralvlatt MATH
Product details
March 2012Adobe eBook Reader
9781139227865
0 pages
0kg
This ISBN is for an eBook version which is distributed on our behalf by a third party.
Table of Contents
- Part I. The Fundamental Principles:
- 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 and properties
- 9. Topology
- 10. Measure and integration on Loeb spaces
- Part II. An Introduction to Finite- and Infinite-Dimensional Stochastic Analysis:
- 11. From finite- to infinite-dimensional Brownian motion
- 12. The Itô integral for infinite-dimensional Brownian motion
- 13. The iterated integral
- 14. Infinite-dimensional Ornstein–Uhlenbeck processes
- 15. Lindstrøm's construction of standard Lévy processes from discrete ones
- 16. Stochastic integration for Lévy processes
- Part III. Malliavin Calculus:
- 17. Chaos decomposition
- 18. The Malliavin derivative
- 19. The Skorokhod integral
- 20. The interplay between derivative and integral
- 21. Skorokhod integral processes
- 22. Girsanov transformation
- 23. Malliavin calculus for Lévy processes
- Appendix A. Poly-saturated models
- Appendix B. The existence of poly-saturated models
- References
- Index.
