Malliavin calculus is a stochastic calculus of variations on the Wiener space. The main results of this theory are currently having influence on research developments at the cross section of probability and infinite-dimensional analysis. On the applied level, Malliavin calculus is used, for example, in the study by probabilistic methods of mathematical models in finance. This book presents some applications of Malliavin calculus to stochastic partial differential equations driven by Gaussian noises. The first five chapters are devoted to an introduction of the calculus itself, based on a general Gaussian space. In the last chapters of the book, recent research on regularity of the solution of stochastic partial differential equations, and the existence and smoothness of their probability laws, are discussed.
Publisher: EPFL Press English Imprint
Published: 22 april 2005
Edition: 1st edition
Pages count Book: 178
Format (in mm) Book: 160 x 240
Weight (in grammes): 560 (Book)
EAN13 Book: 9782940222063