Stochastic Calculus of Variations in Mathematical Finance

• Main Authors: Malliavin, Paul (Author), Thalmaier, Anton (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 2006.
• Series: Springer Finance
• Subjects: Mathematical analysis.; Analysis (Mathematics).; Economics, Mathematical.; Public finance.; Economics.; Public Economics.; Quantitative Finance.; Analysis.

Malliavin calculus provides an infinite-dimensional differential calculus in the context of continuous paths stochastic processes. The calculus includes formulae of integration by parts and Sobolev spaces of differentiable functions defined on a probability space. This new book, demonstrating the re...