数理ファイナンスにおけるマリアバン解析
Stochastic Calculus of Variations in Mathematical Finance
Springer Finance
Malliavin, Paul
Thalmaier, Anton
- 出版社：Springer
- 出版年月：2005年 11月
- ISBN：9783540434313
- 装丁：HRD
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装丁について
- 言語：ENG
- 巻数・ページ数：120 p.
- 内容紹介：
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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 book demonstrates the relevance of Malliavin calculus for Mathematical Finance.