The Malliavin calculus was developed to provide a probabilistic proof of Hormander's hypoellipticity theorem. The theory has expanded to encompass other signifi

The origin of this book lies in an invitation to give a series of lectures on Malliavin calculus at the Probability Seminar of Venezuela, in April 1985. The con

This book is an introduction to Malliavin calculus as a generalization of the classical non-anticipating Ito calculus to an anticipating setting. It presents th

Developed in the 1970s to study the existence and smoothness of density for the probability laws of random vectors, Malliavin calculus--a stochastic calculus of

A compact introduction to this active and powerful area of research, combining basic theory, core techniques, and recent applications.