Introduction to Stochastic Analysis and Malliavin Calculus, Jai Rathod

Автор: Gee James Paul
Название: Introduction to Discourse Analysis
ISBN: 0415725569 ISBN-13(EAN): 9780415725569
Издательство: Taylor&Francis
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Цена: 28160.00 T
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Описание: Assuming no prior knowledge of linguistics, An Introduction to Discourse Analysis examines the field and presents James Paul Gee`s unique integrated approach which incorporates both a theory of language-in-use and a method of research.

Автор: Frederi Viens; Jin Feng; Yaozhong Hu; Eulalia Nual
Название: Malliavin Calculus and Stochastic Analysis
ISBN: 1489996575 ISBN-13(EAN): 9781489996572
Издательство: Springer
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Цена: 121110.00 T
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Описание: An Application of Gaussian Measures to Functional Analysis.- Stochastic Taylor Formulas and Riemannian Geometry.- Local invertibility of adapted shifts on Wiener Space and related topics.- Dilation vector field on Wiener space.- The calculus of differentials for the weak Stratonovich integral.- Large deviations for Hilbert space valued Wiener processes: a sequence space approach.- Stationary distributions for jump processes with inert drift.- An Ornstein-Uhlenbeck type process which satisfies sufficient conditions for a simulation based filtering procedure.- Escape probability for stochastic dynamical systems with jumps.- On Stochastic Navier-Stokes Equation Driven by Stationary White Noise.- Intermittency and chaos for a non-linear stochastic wave equation in dimension 1.- Generalized stochastic heat equations.- Gaussian Upper Density estimates for spatially homogeneous Stochastic PDEs.- Stationarity of the solution for the semilinear stochastic integral equation on the whole real line.- A strong approximation of sub-fractional Brownian motion by means of transport processes.- Malliavin calculus for fractional heat equation.- Parameter estimation for alpha-fractional bridges.- Gradient bounds for solutions of stochastic differential equations driven by fractional Brownian motion.- Parameter estimation for fractional Ornstein-Uhlenbeck processes with discrete observations.- The effect of competition on the height and length of the forest of genealogical trees of a large population.- Linking progressive and initial filtration expansions.- A Malliavin calculus approach to general stochastic differential games with partial information.- Asymptotics for the Length of Longest Increasing Subsequences of Binary Markovian Words.- A short rate model using ambit processes.- Parametric regularity of the conditional expectations via the Malliavin calculus and applications.

Автор: Nourdin
Название: Normal Approximations with Malliavin Calculus
ISBN: 1107017777 ISBN-13(EAN): 9781107017771
Издательство: Cambridge Academ
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Цена: 79200.00 T
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Описание: This book studies normal approximations by means of two powerful probabilistic techniques: the Malliavin calculus and Stein`s method. Largely self-contained it is perfect for self-study and will appeal both to researchers and to graduate students in probability and statistics.

Автор: Tijana Levajkovi?; Hermann Mena
Название: Equations Involving Malliavin Calculus Operators
ISBN: 3319656775 ISBN-13(EAN): 9783319656779
Издательство: Springer
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Цена: 51230.00 T
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Описание: A major contribution of the book is the development of generalized Malliavin calculus in the framework of white noise analysis, based on chaos expansion representation of stochastic processes and its application for solving several classes of stochastic differential equations with singular data involving the main operators of Malliavin calculus.

Автор: M.-P. Malliavin
Название: S?minaire d`Alg?bre Paul Dubreil et Marie-Paule Malliavin
ISBN: 3540126996 ISBN-13(EAN): 9783540126997
Издательство: Springer
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Цена: 32560.00 T
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Автор: David Nualart
Название: The Malliavin Calculus and Related Topics
ISBN: 3642066518 ISBN-13(EAN): 9783642066511
Издательство: Springer
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Цена: 79190.00 T
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Описание: There have been ten years since the publication of the ?rst edition of this book. Since then, new applications and developments of the Malliavin c- 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: Fractional Brownian motion and Mathematical Finance. The presentation of the Malliavin calculus has been slightly modi?ed at some points, where we have taken advantage of the material from the lecturesgiveninSaintFlourin1995(seereference 248]).Themainchanges and additional material are the following: In Chapter 1, the derivative and divergence operators are introduced in the framework of an isonormal Gaussian process associated with a general 2 Hilbert space H. The case where H is an L -space is trated in detail aft- s, p wards (white noise case). The Sobolev spaces D, with s is an arbitrary real number, are introduced following Watanabe's work. Chapter2includesageneralestimateforthedensityofaone-dimensional random variable, with application to stochastic integrals. Also, the c- position of tempered distributions with nondegenerate random vectors is discussed following Watanabe's ideas. This provides an alternative proof of the smoothness of densities for nondegenerate random vectors. Some properties of the support of the law are also presented.

Автор: Malliavin
Название: Stochastic Calculus of Variations in Mathematical Finance
ISBN: 3540434313 ISBN-13(EAN): 9783540434313
Издательство: Springer
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Цена: 83850.00 T
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Описание: Malliavin calculus provides an infinite-dimensional differential calculus in the context of continuous paths stochastic processes. The calculus includes formulae of integration by parts and Sobolev spaces of differentiable functions defined on a probability space. This new book, demonstrating the relevance of Malliavin calculus for Mathematical Finance, starts with an exposition from scratch of this theory. Greeks (price sensitivities) are reinterpreted in terms of Malliavin calculus. Integration by parts formulae provide stable Monte Carlo schemes for numerical valuation of digital options. Finite-dimensional projections of infinite-dimensional Sobolev spaces lead to Monte Carlo computations of conditional expectations useful for computing American options. The discretization error of the Euler scheme for a stochastic differential equation is expressed as a generalized Watanabe distribution on the Wiener space. Insider information is expressed as an infinite-dimensional drift. The last chapter gives an introduction to the same objects in the context of jump processes where incomplete markets appear.

Автор: David Nualart, Eulalia Nualart
Название: Introduction to Malliavin Calculus
ISBN: 1107039126 ISBN-13(EAN): 9781107039124
Издательство: Cambridge Academ
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Цена: 116160.00 T
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Описание: This textbook offers a compact introduction to Malliavin calculus. It covers recent applications, and includes a self-contained presentation of preliminary material on Brownian motion and stochastic calculus. Accessible to non-experts, graduate students and researchers can use this book to master the core techniques necessary for further study.

Автор: Paul Malliavin; Anton Thalmaier
Название: Stochastic Calculus of Variations in Mathematical Finance
ISBN: 3642077838 ISBN-13(EAN): 9783642077838
Издательство: Springer
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Цена: 65210.00 T
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Описание: Highly esteemed author Topics covered are relevant and timely