Selected topics in Malliavin calculus. Chaos, divergence and so much more (Q2139897)

The book contains 6 chapters and can be divided into two parts of 3 chapters. The first part is a rigorous introduction to Malliavin's calculus on the Wiener space, with the notions of Cameron-Martin space, gradient, divergence and Wiener chaos. The second part is devoted to more advanced applications and extensions: the case of the fractional Brownian motion, the analogue of Malliavin's calculus for Poisson point processes (where the Wiener space is replaced by the Poisson space), and the application to the Malliavin-Stein method in order to estimate the distance between some probability measure and a Gaussian or Poisson measure. \par For all the notions, precise definitions of the mathematical objects and complete proofs of the results are given; some examples are thoroughly studied. At the end of each chapter, the reader can also find some classical mathematical background. This book should prove useful for students and academic scholars wishing to get acquainted with Malliavin's calculus, and also for more advanced researchers interested by more recent applications.