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Book Review
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Book Information
Author(s):
Dennis R. Bell
Title:
The Malliavin calculus
Additional book information:
Pitman Monographs and Surveys in Pure and Applied Mathematics, vol. 34, Longman Scientific and Technical, Essex, and John Wiley, New York, 1987, x + 105 pp., $62.95. ISBN 0-582-99486-1
References:
- 1.
- J. M. Bismut and D. Michel, Diffusions conditionnelles. I, J. Funct. Anal. 44 (1981), 174-211. MR 642916
- 2.
- J. M. Bismut and D. Michel, Diffusions conditionnelles. II, J. Funct. Anal. 45 (1982), 274-292. MR 647076
- 3.
- B. Gaveau and P. Trauber, L'intégrale stochastique comme opérateur de divergence dans l'espace fonctionnel, J. Funct. Artal. 46 (1982), 230-238. MR 660187
- 4.
- J. J. Kohn, Pseudo-differential operators and hypoellipticity, Proc. Sympos. Pure Math., vol. 23, Amer. Math. Soc. Providence, R. I., 1969, pp. 61-69. MR 338592
- 5.
- D. Michel, Conditional laws and Hörmander condition, Taniguchi Symposium, 1982, North-Holland, Amsterdam, 1984, pp. 387-408. MR 780766
- 6.
- D. Nualart and M. Zakai, Generalized stochastic integrals and the Malliavin calculus, Probab. Theory Related Fields 73 (1986), 255-280. MR 855226
- 7.
- D. Nualart and E. Pardoux, Stochastic calculus with anticipating integrands, Probab. Theory Related Fields (to appear). MR 950346
- 8.
- D. Ocone, Malliavin's calculus and stochastic integral representation of functional of diffusion processes, Stochastics 12 (1984), 161-185. MR 749372
- 9.
- E. Pardoux and P. Protter, A two-sided stochastic integral and its calculus, Probab. Theory Related Fields 76 (1987), 15-49. MR 899443
- 10.
- D. W. Stroock and S. R. S. Varadhan, Multidimensional diffusion processes, Springer-Verlag, Berlin and New York, 1979. MR 532498
- 11.
- A. S. Ustunel, Une extension du calcul d'Itô via le calcul stochastique des variations, C. R. Acad. Sci. Paris 300 (1985), 277-279. MR 785069
Additional Information:
Reviewer(s):
Philip
Protter
Review Information:
Journal:
Bull. Amer. Math. Soc.
20
(1989),
123-127.
DOI:
10.1090/S0273-0979-1989-15726-1
PII:
S 0273-0979(1989)15726-1
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