Please use this identifier to cite or link to this item:
http://hdl.handle.net/2445/158898
Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | Sanz-Solé, Marta | - |
dc.contributor.author | Capilla Guilarte, David | - |
dc.date.accessioned | 2020-05-06T09:38:15Z | - |
dc.date.available | 2020-05-06T09:38:15Z | - |
dc.date.issued | 2019-06-29 | - |
dc.identifier.uri | http://hdl.handle.net/2445/158898 | - |
dc.description | Treballs finals del Màster en Matemàtica Avançada, Facultat de matemàtiques, Universitat de Barcelona, Any: 2019, Director: Marta Sanz | ca |
dc.description.abstract | [en] This work is an introduction to Malliavin calculus. We start by giving the definition of an integration by parts formula and how they are related to the existence of densities of random variables. The central topic of this work is how using Malliavin calculus we can find integration by parts formulas. In order to accomplish this objective, there are presented tools such as the Wiener chaos decomposition, the multiple Wiener-Itô integral and the fundamental operators which are: the differential operator, the divergence operator and the generator of the Ornstein–Uhlenbeck semigroup. These operators are combined to obtain explicit integration by parts formulas that result in criteria for the existence and regularity of probability densities. Finally, it is provided an example where there are obtained conditions for the Malliavin differentiability of a particular process. | ca |
dc.format.extent | 58 p. | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | eng | ca |
dc.rights | cc-by-sa (c) David Capilla Guilarte, 2019 | - |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-sa/3.0/es/ | * |
dc.source | Màster Oficial - Matemàtica Avançada | - |
dc.subject.classification | Càlcul de Malliavin | cat |
dc.subject.classification | Processos de moviment brownià | cat |
dc.subject.classification | Treballs de fi de màster | cat |
dc.subject.other | Malliavin calculus | eng |
dc.subject.other | Brownian motion processes | eng |
dc.subject.other | Master's theses | eng |
dc.title | Basics of Malliavin Calculus | ca |
dc.type | info:eu-repo/semantics/masterThesis | ca |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | ca |
Appears in Collections: | Màster Oficial - Matemàtica Avançada |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
158898.pdf | Memòria | 446.82 kB | Adobe PDF | View/Open |
This item is licensed under a
Creative Commons License