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Malliavin Calculus and Stochastic Analysis

A Festschrift in Honor of David Nualart

  • Frederi Viens
  • Jin Feng
  • Yaozhong Hu
  • Eulalia Nualart 

Part of the Springer Proceedings in Mathematics & Statistics book series (PROMS, volume 34)

Table of contents

  1. Front Matter
    Pages i-xi
  2. Malliavin Calculus and Wiener Space Theory

  3. Stochastic Differential Equations

    1. Front Matter
      Pages 113-113
    2. Andreas Andresen, Peter Imkeller, Nicolas Perkowski
      Pages 115-138
    3. K. Burdzy, T. Kulczycki, R. L. Schilling
      Pages 139-172
    4. Huijie Qiao, Xingye Kan, Jinqiao Duan
      Pages 195-216
  4. Stochastic Partial Differential Equations

    1. Front Matter
      Pages 217-217
    2. Daniel Conus, Mathew Joseph, Davar Khoshnevisan, Shang-Yuan Shiu
      Pages 251-279
    3. David Márquez-Carreras
      Pages 281-297
  5. Fractional Brownian Models

    1. Front Matter
      Pages 333-333
    2. Johanna Garzón, Luis G. Gorostiza, Jorge A. León
      Pages 335-360
    3. Aurélien Deya, Samy Tindel
      Pages 361-384
    4. Khalifa Es-Sebaiy, Ivan Nourdin
      Pages 385-412
  6. Applications of Stochastic Analysis

    1. Front Matter
      Pages 443-443
    2. Younes Kchia, Martin Larsson, Philip Protter
      Pages 469-487
    3. An Ta Thi Kieu, Bernt Øksendal, Yeliz Yolcu Okur
      Pages 489-510
    4. José Manuel Corcuera, Gergely Farkas, Wim Schoutens, Esko Valkeila
      Pages 525-553

About these proceedings

Introduction

The stochastic calculus of variations of Paul Malliavin (1925 - 2010), known today as the Malliavin Calculus, has found many applications, within and beyond the core mathematical discipline. Stochastic analysis provides a fruitful interpretation of this calculus, particularly as described by David Nualart and the scores of mathematicians he influences and with whom he collaborates. Many of these, including leading stochastic analysts and junior researchers, presented their cutting-edge research at an international conference in honor of David Nualart's career, on March 19-21, 2011, at the University of Kansas, USA. These scholars and other top-level mathematicians have kindly contributed research articles for this refereed volume.

Keywords

Fractional Brownian motion Gaussian processes Levy Processes Malliavin calculus Stochastic partial differential Equations

Editors and affiliations

  • Frederi Viens
    • 1
  • Jin Feng
    • 2
  • Yaozhong Hu
    • 3
  • Eulalia Nualart 
    • 4
  1. 1., Department of StatisticsPurdue UniversityWest LafayetteUSA
  2. 2., Department of MathematicsUniversity of KansasLawrenceUSA
  3. 3.Dept. MathematicsUniversity of KansasLawrenceUSA
  4. 4., Department of Economics and BusinessUniversity Pompeu FabraBarcelonaSpain

Bibliographic information

  • DOI https://doi.org/10.1007/978-1-4614-5906-4
  • Copyright Information Springer Science+Business Media New York 2013
  • Publisher Name Springer, Boston, MA
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-1-4614-5905-7
  • Online ISBN 978-1-4614-5906-4
  • Series Print ISSN 2194-1009
  • Series Online ISSN 2194-1017
  • Buy this book on publisher's site