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Stochastic Calculus of Variations in Mathematical Finance
Stochastic Calculus of Variations in Mathematical Finance
Author: Paul Malliavin, Anton Thalmaier
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 ...  more »
ISBN-13: 9783540434313
ISBN-10: 3540434313
Publication Date: 12/19/2005
Pages: 120
Edition: 1
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Publisher: Springer
Book Type: Hardcover
Members Wishing: 0
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