Malliavin隨機分析和相關(guān)論題-第2版
定 價:59 元
- 作者:紐勒特
- 出版時間:2013/10/1
- ISBN:9787510061370
- 出 版 社:世界圖書
- 中圖法分類:O21
- 頁碼:382
- 紙張:
- 版次:1
- 開本:16開
There have been ten years since the publication of the first edition of this book. Since then, new applications and developments of the Malliavin cal- 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: FYactional Brownian motion and Mathematical Finance.
Introduction
Analysis on the Wiener space
1.1 Wiener chaos and stochastic integrals
1.1.1 The Wiener chaos decomposition
1.1.2 The white noise case: Multiple Wiener-It5
integrals
1.1.3 It5 stochastic calculus
1.2 The derivative operator
1.2.1 The derivative operator in the white noise case
.
1.3 The divergence operator
1.3.1 Properties of the divergence operator
1.3.2 The Skorohod integral
1.3.3 The It5 stochastic integral as a particular
case
of the Skorohod integral
1.3.4 Stochastic integral representation
of Wiener functionals
1.3.5 Local properties
1.4 The Ornstein-Uhlenbeck semigroup
1.4.1 The semigroup of Ornstein-Uhlenbeck
1.4.2 The generator of the Ornstein-Uhlenbeck
semigroup
1.4.3 Hypercontractivity property
and the multiplier theorem
1.5 Sobolev spaces and tile equivalence of norms
……