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Showing 1 - 12 of 12 matches in All departments

Introduction to Malliavin Calculus (Paperback): David Nualart, Eulalia Nualart Introduction to Malliavin Calculus (Paperback)
David Nualart, Eulalia Nualart
R753 R646 Discovery Miles 6 460 Save R107 (14%) Shipped within 20 - 25 working days

This textbook offers a compact introductory course on Malliavin calculus, an active and powerful area of research. It covers recent applications, including density formulas, regularity of probability laws, central and non-central limit theorems for Gaussian functionals, convergence of densities and non-central limit theorems for the local time of Brownian motion. The book also includes a self-contained presentation of Brownian motion and stochastic calculus, as well as Levy processes and stochastic calculus for jump processes. Accessible to non-experts, the book can be used by graduate students and researchers to develop their mastery of the core techniques necessary for further study.

Introduction to Malliavin Calculus (Hardcover): David Nualart, Eulalia Nualart Introduction to Malliavin Calculus (Hardcover)
David Nualart, Eulalia Nualart
R1,869 R1,753 Discovery Miles 17 530 Save R116 (6%) Shipped within 20 - 25 working days

This textbook offers a compact introductory course on Malliavin calculus, an active and powerful area of research. It covers recent applications, including density formulas, regularity of probability laws, central and non-central limit theorems for Gaussian functionals, convergence of densities and non-central limit theorems for the local time of Brownian motion. The book also includes a self-contained presentation of Brownian motion and stochastic calculus, as well as Levy processes and stochastic calculus for jump processes. Accessible to non-experts, the book can be used by graduate students and researchers to develop their mastery of the core techniques necessary for further study.

Lectures on Probability Theory and Statistics - Ecole d'Ete de Probabilites de Saint-Flour XXV - 1995 (Paperback, 1998... Lectures on Probability Theory and Statistics - Ecole d'Ete de Probabilites de Saint-Flour XXV - 1995 (Paperback, 1998 ed.)
Pierre Bernard; Martin T. Barlow, David Nualart
R1,239 Discovery Miles 12 390 Shipped within 18 - 22 working days

This volume contains lectures given at the Saint-Flour Summer School of Probability Theory during the period 10th - 26th July, 1995. These lectures are at a postgraduate research level. They are works of reference in their domain.

Stochastic Inequalities and Applications (Hardcover, 2003 ed.): Evariste Gine, Christian Houdre, David Nualart Stochastic Inequalities and Applications (Hardcover, 2003 ed.)
Evariste Gine, Christian Houdre, David Nualart
R3,269 R2,849 Discovery Miles 28 490 Save R420 (13%) Shipped within 20 - 25 working days

Concentration inequalities, which express the fact that certain complicated random variables are almost constant, have proven of utmost importance in many areas of probability and statistics. This volume contains refined versions of these inequalities, and their relationship to many applications particularly in stochastic analysis. The broad range and the high quality of the contributions make this book highly attractive for graduates, postgraduates and researchers in the above areas.

Barcelona Seminar on Stochastic Analysis - St. Feliu de Guixols, 1991 (Hardcover, 1993 ed.): David Nualart, Marta Sanz Sol e Barcelona Seminar on Stochastic Analysis - St. Feliu de Guixols, 1991 (Hardcover, 1993 ed.)
David Nualart, Marta Sanz Sol e
R1,683 R1,508 Discovery Miles 15 080 Save R175 (10%) Shipped within 20 - 25 working days

During the of Fall 1991, The Centre de Recerca Matematica, a research institute sponsored by the Institut d'Estudis Catalans, devoted a quarter to the study of stochastic analysis. Prominent workers in this field visited the Center from all over the world for periods ranging from a few days to several weeks. To take advantage of the presence in Barcelona of so many special ists in stochastic analysis, we organized a workshop on the subject in Sant Feliu de Guixols (Girona) that provided an opportunity for them to ex change information and ideas about their current work. Topics discussed included: Analysis on the Wiener space, Anticipating Stochastic Calculus and its Applications, Correlation Inequalities, Stochastic Flows, Reflected Semimartingales, and others. This volume contains a refereed selection of contributions from some of the participants in this workshop. We are deeply indebted to the authors of the articles for these exposi tions of their valuable research contributions. We also would like to thank all the referees for their helpful advice in making the volume a reflection of the dynamic interchange that characterized the workshop. The success of the Seminar was due essentially to the enthusiasm and stimulating discus sions of all the participants in an informal and pleasant atmosphere. To all of them our warm gratitude."

Stochastic Analysis, Stochastic Systems, And Applications To Finance (Hardcover): Allanus Tsoi, David Nualart, George Yin Stochastic Analysis, Stochastic Systems, And Applications To Finance (Hardcover)
Allanus Tsoi, David Nualart, George Yin
R1,895 R1,768 Discovery Miles 17 680 Save R127 (7%) Shipped within 20 - 25 working days

This book introduces some advanced topics in probability theories - both pure and applied. It is divided into two parts: the first part deals with the analysis of stochastic dynamical systems, in terms of Gaussian processes, white noise theory, and diffusion processes. The second part of the book discusses some up-to-date applications of optimization theories, martingale measure theories, reliability theories, stochastic filtering theories and stochastic algorithms towards mathematical finance issues such as option pricing and hedging, bond market analysis, volatility studies and asset trading modeling.

The Malliavin Calculus and Related Topics (Paperback, Softcover reprint of hardcover 2nd ed. 2006): David Nualart The Malliavin Calculus and Related Topics (Paperback, Softcover reprint of hardcover 2nd ed. 2006)
David Nualart
R2,189 Discovery Miles 21 890 Shipped within 18 - 22 working days

The Malliavin calculus is an infinite-dimensional differential calculus on a Gaussian space, developed to provide a probabilistic proof to H rmander's sum of squares theorem but has found a range of applications in stochastic analysis. This book presents the features of Malliavin calculus and discusses its main applications. This second edition includes recent applications in finance and a chapter devoted to the stochastic calculus with respect to the fractional Brownian motion.

A Minicourse on Stochastic Partial Differential Equations (Paperback, 2009 ed.): Robert Dalang A Minicourse on Stochastic Partial Differential Equations (Paperback, 2009 ed.)
Robert Dalang; Edited by Davar Khoshnevisan, Firas Rassoul-Agha; Davar Khoshnevisan, Carl Mueller, …
R1,015 Discovery Miles 10 150 Shipped within 18 - 22 working days

In May 2006, The University of Utah hosted an NSF-funded minicourse on stochastic partial differential equations. The goal of this minicourse was to introduce graduate students and recent Ph.D.s to various modern topics in stochastic PDEs, and to bring together several experts whose research is centered on the interface between Gaussian analysis, stochastic analysis, and stochastic partial differential equations. This monograph contains an up-to-date compilation of many of those lectures. Particular emphasis is paid to showcasing central ideas and displaying some of the many deep connections between the mentioned disciplines, all the time keeping a realistic pace for the student of the subject.

Stochastic Inequalities and Applications (Paperback, Softcover reprint of the original 1st ed. 2003): Evariste Gine, Christian... Stochastic Inequalities and Applications (Paperback, Softcover reprint of the original 1st ed. 2003)
Evariste Gine, Christian Houdre, David Nualart
R2,956 Discovery Miles 29 560 Shipped within 18 - 22 working days

Concentration inequalities, which express the fact that certain complicated random variables are almost constant, have proven of utmost importance in many areas of probability and statistics. This volume contains refined versions of these inequalities, and their relationship to many applications particularly in stochastic analysis. The broad range and the high quality of the contributions make this book highly attractive for graduates, postgraduates and researchers in the above areas.

Malliavin Calculus at Saint-Flour (Paperback, 2012): Nobuyuki Ikeda, David Nualart, Daniel W. Stroock Malliavin Calculus at Saint-Flour (Paperback, 2012)
Nobuyuki Ikeda, David Nualart, Daniel W. Stroock
R749 Discovery Miles 7 490 Out of stock

Stroock, Daniel W.: Some applications of stochastic calculus to partial differential equations.- Ikeda, Nobuyuki: Probabilistic methods in the study of asymptotics.- Nualart, David: Analysis on Wiener space and anticipating stochastic calculus. "

Barcelona Seminar on Stochastic Analysis - St. Feliu de Guixols, 1991 (Paperback, Softcover reprint of the original 1st ed.... Barcelona Seminar on Stochastic Analysis - St. Feliu de Guixols, 1991 (Paperback, Softcover reprint of the original 1st ed. 1993)
David Nualart, Marta Sanz Sol e
R1,408 Discovery Miles 14 080 Out of stock

During the of Fall 1991, The Centre de Recerca Matematica, a research institute sponsored by the Institut d'Estudis Catalans, devoted a quarter to the study of stochastic analysis. Prominent workers in this field visited the Center from all over the world for periods ranging from a few days to several weeks. To take advantage of the presence in Barcelona of so many special ists in stochastic analysis, we organized a workshop on the subject in Sant Feliu de Guixols (Girona) that provided an opportunity for them to ex change information and ideas about their current work. Topics discussed included: Analysis on the Wiener space, Anticipating Stochastic Calculus and its Applications, Correlation Inequalities, Stochastic Flows, Reflected Semimartingales, and others. This volume contains a refereed selection of contributions from some of the participants in this workshop. We are deeply indebted to the authors of the articles for these exposi tions of their valuable research contributions. We also would like to thank all the referees for their helpful advice in making the volume a reflection of the dynamic interchange that characterized the workshop. The success of the Seminar was due essentially to the enthusiasm and stimulating discus sions of all the participants in an informal and pleasant atmosphere. To all of them our warm gratitude."

The Malliavin Calculus and Related Topics (Hardcover, 2nd ed. 2006): David Nualart The Malliavin Calculus and Related Topics (Hardcover, 2nd ed. 2006)
David Nualart
R2,283 Discovery Miles 22 830 Out of stock

The Malliavin calculus (or stochastic calculus of variations) is an infinite-dimensional differential calculus on a Gaussian space. Originally, it was developed to provide a probabilistic proof to HArmander's "sum of squares" theorem, but it has found a wide range of applications in stochastic analysis. This monograph presents the main features of the Malliavin calculus and discusses in detail its main applications. The author begins by developing the analysis on the Wiener space, and then uses this to establish the regularity of probability laws and to prove HArmander's theorem. The regularity of the law of stochastic partial differential equations driven by a space-time white noise is also studied. The subsequent chapters develop the connection of the Malliavin with the anticipating stochastic calculus, studying anticipating stochastic differential equations and the Markov property of solutions to stochastic differential equations with boundary conditions.

The second edition of this monograph includes recent applications of the Malliavin calculus in finance and a chapter devoted to the stochastic calculus with respect to the fractional Brownian motion.

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