Introduction to Malliavin Calculus

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Introduction to Malliavin Calculus is written by David Nualart and published by Cambridge University Press. It's available with International Standard Book Number or ISBN identification 1108669697 (ISBN 10) and 9781108669696 (ISBN 13).

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 Lévy 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.