This book is an introduction to Malliavin calculus as a generalization of the classical non-anticipating Ito calculus to an anticipating setting. It presents the development of the theory and its use in new fields of application.1. K. Aase, T. Bjuland, and B. Aksendal. Transfinite mean value interpolation. Eprint in Mathematics, University of Oslo, 2007. ... Finance Stoch., 4(4):465a496, 2000. ... Potential Analysis, 14(4):351a374, 2001. ... Integration by parts formula for locally smooth laws and applications to equations with jumps I. Technical report, anbsp;...
|Title||:||Malliavin Calculus for Lévy Processes with Applications to Finance|
|Author||:||Giulia Di Nunno, Bernt Øksendal, Frank Proske|
|Publisher||:||Springer Science & Business Media - 2008-10-08|