Introduction to Malliavin Calculus

By David Nualart, E. Nualart. 2018

65 citations recorded by the source corpus.

This textbook offers a compact introductory course on Malliavin calculus, an active and powerful area of research. It covers recent applications, including density formulas, regularity of probability laws, central and non-central limit theorems for Gaussian functionals, convergence of densities and non-central limit theorems for the local time of Brownian motion. The book also includes a self-contained presentation of Brownian motion and stochastic calculus, as well as Levy processes and stochastic calculus for jump processes. Accessible to non-experts, the book can be used by graduate students and researchers to develop their mastery of the core techniques necessary for further study.

Subfields: Economics and Econometrics, Finance, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/36230b1d88938b974b9b8e6fc7eb4e8b9c099318

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. David Nualart
2. Christian Bender

In Finance

1. Jingyu Huang
2. Guangqu Zheng
3. Lauri Viitasaari
4. David Nualart
5. Ivan Nourdin
6. Giovanni Peccati
7. Frederi G. Viens
8. Ciprian A. Tudor

In Mathematical Physics

1. Jingyu Huang
2. Guangqu Zheng
3. Lauri Viitasaari
4. David Nualart
5. Ciprian A. Tudor
6. Khoa Le
7. Frederi G. Viens

Citations in the corpus

• Gaussian fluctuations for the stochastic heat equation with colored noise (2019, background): “In the sequel, we recall some basic facts on Malliavin calculus and we refer readers to the books [11,12] for any unexplained notation and result.”