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Normal Approximations with Malliavin Calculus
Language: en
Pages: 255
Authors: Ivan Nourdin
Categories: Mathematics
Type: BOOK - Published: 2012-05-10 - Publisher: Cambridge University Press

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This book shows how quantitative central limit theorems can be deduced by combining two powerful probabilistic techniques: Stein's method and Malliavin calculus
Introduction to Malliavin Calculus
Language: en
Pages: 249
Authors: David Nualart
Categories: Business & Economics
Type: BOOK - Published: 2018-09-27 - Publisher: Cambridge University Press

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A compact introduction to this active and powerful area of research, combining basic theory, core techniques, and recent applications.
Normal Approximation by Stein’s Method
Language: en
Pages: 411
Authors: Louis H.Y. Chen
Categories: Mathematics
Type: BOOK - Published: 2010-10-13 - Publisher: Springer Science & Business Media

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Since its introduction in 1972, Stein’s method has offered a completely novel way of evaluating the quality of normal approximations. Through its characterizi
Selected Aspects of Fractional Brownian Motion
Language: en
Pages: 133
Authors: Ivan Nourdin
Categories: Mathematics
Type: BOOK - Published: 2013-01-17 - Publisher: Springer Science & Business Media

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Fractional Brownian motion (fBm) is a stochastic process which deviates significantly from Brownian motion and semimartingales, and others classically used in p
Stochastic Analysis
Language: en
Pages: 359
Authors: Hiroyuki Matsumoto
Categories: Mathematics
Type: BOOK - Published: 2017 - Publisher: Cambridge University Press

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Developing the Itô calculus and Malliavin calculus in tandem, this book crystallizes modern day stochastic analysis into a single volume.