Malliavin calculus / Marta Sanz-Solé

Public ISBD Titre : Malliavin calculus : With applications to stochastic partial differential equations Type de document : texte imprimé Auteurs : Marta Sanz-Solé, Auteur Editeur : Lausanne : École polytechnique fédérale de Lausanne Année de publication : 2005 Collection : Fundamental sciences. Mathematics Importance : 162 p Présentation : couv. ill. en coul. Format : 24 cm ISBN/ISSN/EAN : 978-2-940222-06-3 Langues : Anglais Catégories : MATH:519.1 Probabilité-statistiques Mots-clés : Calcul de Malliavin  Probabilités Résumé : Malliavin calculus is a stochastic calculus of variations on the Wiener space. The main results of this theory are currently having influence on research developments at the cross section of probability and infinite-dimensional analysis. On the applied level, Malliavin calculus is used, for example, in the study by probabilistic methods of mathematical models in finance. This book presents some applications of Malliavin calculus to stochastic partial differential equations driven by Gaussian noises. The first five chapters are devoted to an introduction of the calculus itself, based on a general Gaussian space. In the last chapters of the book, recent research on regularity of the solution of stochastic partial differential equations, and the existence and smoothness of their probability laws, are discussed. Malliavin calculus : With applications to stochastic partial differential equations [texte imprimé] / Marta Sanz-Solé, Auteur . - Lausanne : École polytechnique fédérale de Lausanne, 2005 . - 162 p : couv. ill. en coul. ; 24 cm. - (Fundamental sciences. Mathematics) . ISBN : 978-2-940222-06-3 Langues : Anglais Catégories : MATH:519.1 Probabilité-statistiques Mots-clés : Calcul de Malliavin  Probabilités Résumé : Malliavin calculus is a stochastic calculus of variations on the Wiener space. The main results of this theory are currently having influence on research developments at the cross section of probability and infinite-dimensional analysis. On the applied level, Malliavin calculus is used, for example, in the study by probabilistic methods of mathematical models in finance. This book presents some applications of Malliavin calculus to stochastic partial differential equations driven by Gaussian noises. The first five chapters are devoted to an introduction of the calculus itself, based on a general Gaussian space. In the last chapters of the book, recent research on regularity of the solution of stochastic partial differential equations, and the existence and smoothness of their probability laws, are discussed.

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Code-barres	Cote	Support	Localisation	Section	Disponibilité
519.1.258-1	519.1.258-1	Livre interne	BIBLIOTHEQUE CENTRALE	Mathématique (bc)	Disponible
519.2-28-1	519.2-28-1	Livre externe	BIBLIOTHEQUE DE FACULTE DES SCIENCES	Mathématique (SCI)	Disponible

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