Bøger i Probability and Its Applications serien

The Malliavin calculus is an infinite-dimensional differential calculus on a Gaussian space, developed to provide a probabilistic proof to Hoermander's sum of squares theorem but has found a range of applications in stochastic analysis.

This book gives a self-contained introduction to the dynamic martingale approach to marked point processes (MPP).

Here is easy reference to a wealth of facts and formulae associated with Brownian motion, collecting in one volume more than 2500 numbered formulae.