文档介绍：Giulia Di Nunno · Bernt Øksendal
Frank Proske
Malliavin Calculus
for Levy´ Processes
with Applications
to Finance
ABC
Giulia Di Nunno
Bernt Øksendal
Frank Proske
Department of Mathematics
University of Oslo
0316 Oslo
Blindern
Norway
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ISBN 978-3-540-78571-2 e-ISBN 978-3-540-78572-9
Library of Congress Control Number: 2008933368
Mathematics Subject Classification (2000): 60H05, 60H07, 60H40, 91B28, 93E20, 60G51, 60G57
°c 2009 Springer-Verlag Berlin Heidelberg
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To Christian. To my parents.
.
To Eva.
B.Ø.
To Simone, Paulina and Siegfried.
.
Preface
There are already several excellent books on Malliavin calculus. However,
most of them deal only with the theory of Malliavin calculus for Brownian
motion, with [35] as an honorable exception. Moreover, most of them discuss
only the application to regularity results for solutions of SDEs, as this was the