The Malliavin calculus:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Harlow, Essex
Longman
1987
|
| Ausgabe: | 1. publ. |
| Schriftenreihe: | Pitman monographs and surveys in pure and applied mathematics
34 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | X, 105 S. |
| ISBN: | 0582994861 |
Internformat
MARC
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| 100 | 1 | |a Bell, Denis |e Verfasser |0 (DE-588)1036765539 |4 aut | |
| 245 | 1 | 0 | |a The Malliavin calculus |c Denis R. Bell |
| 250 | |a 1. publ. | ||
| 264 | 1 | |a Harlow, Essex |b Longman |c 1987 | |
| 300 | |a X, 105 S. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 1 | |a Pitman monographs and surveys in pure and applied mathematics |v 34 | |
| 650 | 4 | |a Analyse fonctionnelle | |
| 650 | 4 | |a Analyse stochastique | |
| 650 | 4 | |a Functional analysis | |
| 650 | 4 | |a Malliavin calculus | |
| 650 | 0 | 7 | |a Funktionalanalysis |0 (DE-588)4018916-8 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Stochastische Analysis |0 (DE-588)4132272-1 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Malliavin-Kalkül |0 (DE-588)4242584-0 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Stochastisches Integral |0 (DE-588)4126478-2 |2 gnd |9 rswk-swf |
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| 999 | |a oai:aleph.bib-bvb.de:BVB01-000454965 | ||
Datensatz im Suchindex
| _version_ | 1804115178544955392 |
|---|---|
| adam_text | Contents
Preface ix
Introduction 1
1 Background material 7
1.1 Abstract Wiener spaces 7
1.2 Stochastic integration 10
1.3 Preliminary results 13
2 The functional analytic approach 16
2.1 Symmetric diffusion operators 16
2.2 A symmetric diffusion operator for Wiener space 20
2.3 Regularity of measures induced by Wiener functionals 26
2.4 Application of the Malliavin calculus to stochastic differential
equations 28
3 The variational approach 34
3.1 Perturbation via the Girsanov theorem 34
3.2 Smooth dependence of stochastic differential equations upon
parameters 37
3.3 Regularity of the measures induced by a stochastic differential
equation 41
4 An elementary derivation of Malliavin s inequalities 46
4.1 Introduction 46
4.2 A sequence of differentiable approximations to the It6 map 48
4.3 Derivation of the covariance matrix 53
4.4 Regularity of the measures induced by a stochastic differential
equation 56
vii
viii CONTENTS
5 A discussion of the different forms of the theory 63
5.1 An outline of Malliavin s original paper 63
5.2 A condition for equivalence of the approaches of Stroock and
Bismut 65
5.3 Transformation theorems and integration by parts operators 68
6 Non degeneracy of the covariance matrix under Hormander s
condition 73
6.1 Hormander s theorem 73
6.2 Hormander s condition implies o 1 e If for all p 11
7 Some further applications of the Malliavin calculus 87
7.1 The filtering problem 87
7.2 A study of an infinite system of interacting particles 92
7.3 Towards the construction of quasi invariant measures on an
infinite dimensional vector space 97
References 103
Index 105
|
| any_adam_object | 1 |
| author | Bell, Denis |
| author_GND | (DE-588)1036765539 |
| author_facet | Bell, Denis |
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| building | Verbundindex |
| bvnumber | BV000727253 |
| callnumber-first | Q - Science |
| callnumber-label | QA274 |
| callnumber-raw | QA274.2 |
| callnumber-search | QA274.2 |
| callnumber-sort | QA 3274.2 |
| callnumber-subject | QA - Mathematics |
| classification_rvk | SK 820 |
| ctrlnum | (OCoLC)14379466 (DE-599)BVBBV000727253 |
| dewey-full | 519.5 |
| dewey-hundreds | 500 - Natural sciences and mathematics |
| dewey-ones | 519 - Probabilities and applied mathematics |
| dewey-raw | 519.5 |
| dewey-search | 519.5 |
| dewey-sort | 3519.5 |
| dewey-tens | 510 - Mathematics |
| discipline | Mathematik |
| edition | 1. publ. |
| format | Book |
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| id | DE-604.BV000727253 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-09T15:18:29Z |
| institution | BVB |
| isbn | 0582994861 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-000454965 |
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| physical | X, 105 S. |
| publishDate | 1987 |
| publishDateSearch | 1987 |
| publishDateSort | 1987 |
| publisher | Longman |
| record_format | marc |
| series | Pitman monographs and surveys in pure and applied mathematics |
| series2 | Pitman monographs and surveys in pure and applied mathematics |
| spelling | Bell, Denis Verfasser (DE-588)1036765539 aut The Malliavin calculus Denis R. Bell 1. publ. Harlow, Essex Longman 1987 X, 105 S. txt rdacontent n rdamedia nc rdacarrier Pitman monographs and surveys in pure and applied mathematics 34 Analyse fonctionnelle Analyse stochastique Functional analysis Malliavin calculus Funktionalanalysis (DE-588)4018916-8 gnd rswk-swf Stochastische Analysis (DE-588)4132272-1 gnd rswk-swf Malliavin-Kalkül (DE-588)4242584-0 gnd rswk-swf Stochastisches Integral (DE-588)4126478-2 gnd rswk-swf Funktionalanalysis (DE-588)4018916-8 s DE-604 Stochastisches Integral (DE-588)4126478-2 s Malliavin-Kalkül (DE-588)4242584-0 s Stochastische Analysis (DE-588)4132272-1 s Pitman monographs and surveys in pure and applied mathematics 34 (DE-604)BV000022446 34 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=000454965&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Bell, Denis The Malliavin calculus Pitman monographs and surveys in pure and applied mathematics Analyse fonctionnelle Analyse stochastique Functional analysis Malliavin calculus Funktionalanalysis (DE-588)4018916-8 gnd Stochastische Analysis (DE-588)4132272-1 gnd Malliavin-Kalkül (DE-588)4242584-0 gnd Stochastisches Integral (DE-588)4126478-2 gnd |
| subject_GND | (DE-588)4018916-8 (DE-588)4132272-1 (DE-588)4242584-0 (DE-588)4126478-2 |
| title | The Malliavin calculus |
| title_auth | The Malliavin calculus |
| title_exact_search | The Malliavin calculus |
| title_full | The Malliavin calculus Denis R. Bell |
| title_fullStr | The Malliavin calculus Denis R. Bell |
| title_full_unstemmed | The Malliavin calculus Denis R. Bell |
| title_short | The Malliavin calculus |
| title_sort | the malliavin calculus |
| topic | Analyse fonctionnelle Analyse stochastique Functional analysis Malliavin calculus Funktionalanalysis (DE-588)4018916-8 gnd Stochastische Analysis (DE-588)4132272-1 gnd Malliavin-Kalkül (DE-588)4242584-0 gnd Stochastisches Integral (DE-588)4126478-2 gnd |
| topic_facet | Analyse fonctionnelle Analyse stochastique Functional analysis Malliavin calculus Funktionalanalysis Stochastische Analysis Malliavin-Kalkül Stochastisches Integral |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=000454965&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV000022446 |
| work_keys_str_mv | AT belldenis themalliavincalculus |