Malliavin Calculus with Applications to Stochastic Partial Differential Equation
Professor Sanz-Solé (University of Barcelona) has written an inspiring text in an alert style, which can be used for many different purposes from individual reading to graduate level seminars; the interest of potential users is continuously kept alive. She demonstrates how Malliavin calculus can provide penetrating insights into deep aspects of probability theory. The book gives a self-contained introduction to the background material (including the Ornstein-Uhlenbeck operator and the representation of Wiener functionals). However, the choice of topics is highly selective, with emphasis on those frequently used in research and inspired by special problems discussed in the later chapters. These include questions related to stochastic partial differential equations. Several results are published here for the first time in book form. The quick progress from fundamentals to applicable topics ensures that both graduate students and young researchers will benefit from the book.