書誌事項
- 公開日
- 1984
- DOI
-
- 10.1016/s0924-6509(08)70387-8
- 公開者
- Elsevier
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説明
Publisher Summary This chapter gives an introductory survey on the Malliavin calculus. It is an infinite dimensional differential calculus for functions on a Wiener space. This calculus is also called a stochastic calculus of variation for Wiener functionals because the functions on the Wiener space are functions of paths. The main aim of the Mailiavin calculus is to establish a differential calculus based on a Gaussian measure. The chapter explains that in the simple case of finite dimensional spaces where the proof is easily provided by the classical analysis, notions and formulas are aimed at extending in the general case of infinite dimensional spaces.
収録刊行物
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- North-Holland Mathematical Library
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North-Holland Mathematical Library 1-52, 1984
Elsevier