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Stochastic Equations for Complex Systems

The purpose of these notes is to provide an introduction to the Malliavin
calculus and its recent application to quantitative results in normal approximations,
in combination with Stein’s method. The basic differential operators of the Malliavin calculus and their main properties are presented. We explain the connection
of these operators with the Wiener chaos expansion and the Ornstein-Uhlenbeck
semigroup. We survey several applications of the Malliavin calculus including stochastic integral representation, density formulas, smoothness of densities and normal
approximations.

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Series Title
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Call Number
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Publisher
London : Springer.,
Collation
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Language
English
ISBN/ISSN
978-3-319-18206-3
Classification
NONE
Content Type
text
Media Type
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Carrier Type
online resource
Edition
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Subject(s)
Mathematical Engineering
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Cataloger
Jemadi
Source
https://link.springer.com/content/pdf/10.1007/978-3-319-18206-3.pdf?pdf=button
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