Holdings: Malliavin calculus for Lévy processes with applications to finance

Malliavin calculus for Lévy processes with applications to finance:

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Bibliographic Details
Format:	Electronic eBook
Language:	English
Published:	Berlin [u.a.] Springer 2009
Series:	Universitext
Subjects:	Lévy-Prozess Brownsche Bewegung Malliavin-Kalkül
Online Access:	BTU01 TUM01 UBA01 UBM01 UBT01 UER01 UPA01 Volltext Inhaltsverzeichnis
Physical Description:	1 Online-Ressource
ISBN:	9783540785729

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MARC


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adam_text	GESCANNT DURCH CONTENTS INTRODUCTION 1 PART I THE CONTINUOUS CASE: BROWNIAN MOTION 1 THE WIENER-ITOE CHAOS EXPANSION 7 1.1 ITERATED ITOE INTEGRALS 7 1.2 THE WIENER-ITOE CHAOS EXPANSION 11 1.3 EXERCISES 16 2 THE SKOROHOD INTEGRAL 19 2.1 THE SKOROHOD INTEGRAL 19 2.2 SOME BASIC PROPERTIES OF THE SKOROHOD INTEGRAL 22 2.3 THE SKOROHOD INTEGRAL AS AN EXTENSION OF THE ITOE INTEGRAL .... 23 2.4 EXERCISES 25 3 MALLIAVIN DERIVATIVE VIA CHAOS EXPANSION 27 3.1 THE MALLIAVIN DERIVATIVE 27 3.2 COMPUTATION AND PROPERTIES OF THE MALLIAVIN DERIVATIVE 29 3.2.1 CHAIN RULES FOR MALLIAVIN DERIVATIVE 29 3.2.2 MALLIAVIN DERIVATIVE AND CONDITIONAL EXPECTATION 30 3.3 MALLIAVIN DERIVATIVE AND SKOROHOD INTEGRAL 34 3.3.1 SKOROHOD INTEGRAL AS ADJOINT OPERATOR TO THE MALLIAVIN DERIVATIVE 34 3.3.2 AN INTEGRATION BY PARTS FORMULA AND CLOSABILITY OF THE SKOROHOD INTEGRAL 36 3.3.3 A FUNDAMENTAL THEOREM OF CALCULUS 37 3.4 EXERCISES 40 4 INTEGRAL REPRESENTATIONS AND THE CLARKOCONE FORMULA .... 43 4.1 THE CLARK-OCONE FORMULA 43 4.2 THE CLARK-OCONE FORMULA UNDER CHANGE OF MEASURE 45 IX BIBLIOGRAFISCHE INFORMATIONEN HTTP://D-NB.INFO/98749063X DIGITALISIERT DURCH * * * * * * * * *
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spelling	Malliavin calculus for Lévy processes with applications to finance Giulia Di Nunno ; Bernt Øksendal ; Frank Proske Berlin [u.a.] Springer 2009 1 Online-Ressource txt rdacontent c rdamedia cr rdacarrier Universitext Lévy-Prozess (DE-588)4463623-4 gnd rswk-swf Brownsche Bewegung (DE-588)4128328-4 gnd rswk-swf Malliavin-Kalkül (DE-588)4242584-0 gnd rswk-swf Malliavin-Kalkül (DE-588)4242584-0 s Lévy-Prozess (DE-588)4463623-4 s Brownsche Bewegung (DE-588)4128328-4 s DE-604 Di Nunno, Giulia Sonstige (DE-588)1013121341 oth Øksendal, Bernt K. 1945- Sonstige (DE-588)128742054 oth Proske, Frank Sonstige oth http://springerlink.com/content/tt4601/?p=f9b513a9ca3043839f2056c00fe91bbb&pi=0 Volltext DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017447196&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis
spellingShingle	Malliavin calculus for Lévy processes with applications to finance Lévy-Prozess (DE-588)4463623-4 gnd Brownsche Bewegung (DE-588)4128328-4 gnd Malliavin-Kalkül (DE-588)4242584-0 gnd
subject_GND	(DE-588)4463623-4 (DE-588)4128328-4 (DE-588)4242584-0
title	Malliavin calculus for Lévy processes with applications to finance
title_auth	Malliavin calculus for Lévy processes with applications to finance
title_exact_search	Malliavin calculus for Lévy processes with applications to finance
title_full	Malliavin calculus for Lévy processes with applications to finance Giulia Di Nunno ; Bernt Øksendal ; Frank Proske
title_fullStr	Malliavin calculus for Lévy processes with applications to finance Giulia Di Nunno ; Bernt Øksendal ; Frank Proske
title_full_unstemmed	Malliavin calculus for Lévy processes with applications to finance Giulia Di Nunno ; Bernt Øksendal ; Frank Proske
title_short	Malliavin calculus for Lévy processes with applications to finance
title_sort	malliavin calculus for levy processes with applications to finance
topic	Lévy-Prozess (DE-588)4463623-4 gnd Brownsche Bewegung (DE-588)4128328-4 gnd Malliavin-Kalkül (DE-588)4242584-0 gnd
topic_facet	Lévy-Prozess Brownsche Bewegung Malliavin-Kalkül
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