Selected Topics in Malliavin Calculus: Chaos, Divergence and So Much More

This book provides a variety of proof techniques for Malliavin calculus, making it accessible to students with knowledge of Ito calculus and functional analysis. It does not cover all known results, but focuses on giving the largest possible variety of proof techniques.

Format: Hardback
Length: 172 pages
Publication date: 24 June 2022
Publisher: Springer International Publishing AG

This book is a comprehensive exploration of Malliavin calculus, presenting the latest results and sophisticated proofs. While it does not encompass all known results for basic subjects addressed herein, it aims to offer a diverse range of proof techniques. For instance, we have not delved into the proof of concentration inequality for functionals of Brownian motion, as it closely aligns with the analog result for Poisson functionals. This book originated from the graduate courses I taught at Paris-Sorbonne and Paris-Saclay universities over the past few years. Its primary objective is to make the content accessible to students with a solid foundation in Ito calculus and a basic understanding of functional analysis.

This book is a comprehensive exploration of Malliavin calculus, presenting the latest results and sophisticated proofs. While it does not encompass all known results for basic subjects addressed herein, it aims to offer a diverse range of proof techniques. For instance, we have not delved into the proof of concentration inequality for functionals of Brownian motion, as it closely aligns with the analog result for Poisson functionals. This book originated from the graduate courses I taught at Paris-Sorbonne and Paris-Saclay universities over the past few years. Its primary objective is to make the content accessible to students with a solid foundation in Ito calculus and a basic understanding of functional analysis.

Weight: 422g
Dimension: 243 x 160 x 17 (mm)
ISBN-13: 9783031013102
Edition number: 1st ed. 2022