Malliavin, Paul 19252010
Overview
Works:  74 works in 216 publications in 5 languages and 3,132 library holdings 

Genres:  Biography 
Roles:  Author, Editor, Publishing director 
Classifications:  QA3, 510 
Publication Timeline
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Most widely held works about
Paul Malliavin
 Malliavin calculus and stochastic analysis a festschrift in honor of David Nualart by Frederi G Viens Frederi G Viens( Book )
Most widely held works by
Paul Malliavin
Stochastic calculus of variations in mathematical finance
by
Paul Malliavin(
)
22 editions published between 2006 and 2010 in English and held by 852 WorldCat member libraries worldwide
Malliavin calculus provides an infinitedimensional differential calculus in the context of continuous paths stochastic processes. The calculus includes formulae of integration by parts and Sobolev spaces of differentiable functions defined on a probability space. This new book, demonstrating the relevance of Malliavin calculus for Mathematical Finance, starts with an exposition from scratch of this theory. Greeks (price sensitivities) are reinterpreted in terms of Malliavin calculus. Integration by parts formulae provide stable Monte Carlo schemes for numerical valuation of digital options. Finitedimensional projections of infinitedimensional Sobolev spaces lead to Monte Carlo computations of conditional expectations useful for computing American options. The discretization error of the Euler scheme for a stochastic differential equation is expressed as a generalized Watanabe distribution on the Wiener space. Insider information is expressed as an infinitedimensional drift. The last chapter gives an introduction to the same objects in the context of jump processes where incomplete markets appear
22 editions published between 2006 and 2010 in English and held by 852 WorldCat member libraries worldwide
Malliavin calculus provides an infinitedimensional differential calculus in the context of continuous paths stochastic processes. The calculus includes formulae of integration by parts and Sobolev spaces of differentiable functions defined on a probability space. This new book, demonstrating the relevance of Malliavin calculus for Mathematical Finance, starts with an exposition from scratch of this theory. Greeks (price sensitivities) are reinterpreted in terms of Malliavin calculus. Integration by parts formulae provide stable Monte Carlo schemes for numerical valuation of digital options. Finitedimensional projections of infinitedimensional Sobolev spaces lead to Monte Carlo computations of conditional expectations useful for computing American options. The discretization error of the Euler scheme for a stochastic differential equation is expressed as a generalized Watanabe distribution on the Wiener space. Insider information is expressed as an infinitedimensional drift. The last chapter gives an introduction to the same objects in the context of jump processes where incomplete markets appear
Integration and probability
by
Paul Malliavin(
Book
)
17 editions published between 1993 and 2014 in English and Italian and held by 467 WorldCat member libraries worldwide
This book is designed to be an introduction to analysis with the proper mix of abstract theories and concrete problems. It starts with general measure theory, treats Borel and Radon measures (with particular attention paid to Lebesgue measure) and introduces the reader to Fourier analysis in Euclidean spaces with a treatment of Sobolev spaces, distributions, and the Fourier analysis of such. It continues with a Hilbertian treatment of the basic laws of probability including Doob's martingale convergence theorem and finishes with Malliavin's "stochastic calculus of variations" developed in the context of Gaussian measure spaces. This invaluable contribution to the existing literature gives the reader a taste of the fact that analysis is not a collection of independent theories but can be treated as a whole
17 editions published between 1993 and 2014 in English and Italian and held by 467 WorldCat member libraries worldwide
This book is designed to be an introduction to analysis with the proper mix of abstract theories and concrete problems. It starts with general measure theory, treats Borel and Radon measures (with particular attention paid to Lebesgue measure) and introduces the reader to Fourier analysis in Euclidean spaces with a treatment of Sobolev spaces, distributions, and the Fourier analysis of such. It continues with a Hilbertian treatment of the basic laws of probability including Doob's martingale convergence theorem and finishes with Malliavin's "stochastic calculus of variations" developed in the context of Gaussian measure spaces. This invaluable contribution to the existing literature gives the reader a taste of the fact that analysis is not a collection of independent theories but can be treated as a whole
Stochastic analysis
by
Paul Malliavin(
Book
)
19 editions published between 1997 and 2003 in English and German and held by 420 WorldCat member libraries worldwide
19 editions published between 1997 and 2003 in English and German and held by 420 WorldCat member libraries worldwide
Géométrie différentielle intrinsèque
by
Paul Malliavin(
Book
)
17 editions published between 1972 and 1975 in 3 languages and held by 290 WorldCat member libraries worldwide
17 editions published between 1972 and 1975 in 3 languages and held by 290 WorldCat member libraries worldwide
Géométrie différentielle stochastique
by
Paul Malliavin(
Book
)
14 editions published between 1978 and 1984 in 3 languages and held by 171 WorldCat member libraries worldwide
14 editions published between 1978 and 1984 in 3 languages and held by 171 WorldCat member libraries worldwide
Intégration et probabilités : analyse de Fourier et analyse spectrale
by
Paul Malliavin(
Book
)
8 editions published in 1982 in French and held by 164 WorldCat member libraries worldwide
8 editions published in 1982 in French and held by 164 WorldCat member libraries worldwide
Selected papers of Alberto P. Calderón with commentary
by
Alberto P Calderón(
Book
)
9 editions published in 2008 in English and held by 107 WorldCat member libraries worldwide
9 editions published in 2008 in English and held by 107 WorldCat member libraries worldwide
Intégration et analyse de Fourier. Probabilités et analyse gaussienne
by
Paul Malliavin(
Book
)
8 editions published between 1993 and 1994 in French and held by 103 WorldCat member libraries worldwide
8 editions published between 1993 and 1994 in French and held by 103 WorldCat member libraries worldwide
Selected papers
by
Peter D Lax(
Book
)
8 editions published between 1997 and 1998 in French and English and held by 87 WorldCat member libraries worldwide
A renowned mathematician who considers himself both applied and theoretical in his approach, Peter Lax has spent most of his professional career at NYU, making significant contributions to both mathematics and computing. He has written several important published works and has received numerous honours including the National Medal of Science, the Lester R. Ford Award, the Chauvenet Prize, the Semmelweis Medal, the Wiener Prize, and the Wolf Prize. Several students he has mentored have become leaders in their fields. These two volumes span the years from 1952 up until 1999, and cover many varying topics, from functional analysis, partial differential equations, and numerical methods to conservation laws, integrable systems and scattering theory. After each paper, or collection of papers, is a commentary placing the paper in context and where relevant discussing more recent developments. Many of the papers in these volumes have become classics and should be read by any serious student of these topics. In terms of insight, depth, and breadth, Lax has few equals. The reader of this selection will quickly appreciate his brilliance as well as his masterful touch. Having this collection of papers in one place allows one to follow the evolution of his ideas and mathematical interests and to appreciate how many of these papers initiated topics that developed lives of their own
8 editions published between 1997 and 1998 in French and English and held by 87 WorldCat member libraries worldwide
A renowned mathematician who considers himself both applied and theoretical in his approach, Peter Lax has spent most of his professional career at NYU, making significant contributions to both mathematics and computing. He has written several important published works and has received numerous honours including the National Medal of Science, the Lester R. Ford Award, the Chauvenet Prize, the Semmelweis Medal, the Wiener Prize, and the Wolf Prize. Several students he has mentored have become leaders in their fields. These two volumes span the years from 1952 up until 1999, and cover many varying topics, from functional analysis, partial differential equations, and numerical methods to conservation laws, integrable systems and scattering theory. After each paper, or collection of papers, is a commentary placing the paper in context and where relevant discussing more recent developments. Many of the papers in these volumes have become classics and should be read by any serious student of these topics. In terms of insight, depth, and breadth, Lax has few equals. The reader of this selection will quickly appreciate his brilliance as well as his masterful touch. Having this collection of papers in one place allows one to follow the evolution of his ideas and mathematical interests and to appreciate how many of these papers initiated topics that developed lives of their own
La Vie et l'œuvre de Jacques Hadamard (18651963)
by
Paul Lévy(
Book
)
2 editions published in 1967 in English and held by 87 WorldCat member libraries worldwide
2 editions published in 1967 in English and held by 87 WorldCat member libraries worldwide
La statistique
by
Académie des sciences (France)(
Book
)
3 editions published in 2000 in French and held by 86 WorldCat member libraries worldwide
3 editions published in 2000 in French and held by 86 WorldCat member libraries worldwide
Exercises and solutions manual for Integration and probability by Paul Malliavin
by
Gérard Letac(
Book
)
4 editions published in 1995 in English and held by 28 WorldCat member libraries worldwide
This book presents the problems and workedout solutions for all the exercises in the text by Malliavin. It will be of use not only to mathematics teachers, but also to students using the text for selfstudy
4 editions published in 1995 in English and held by 28 WorldCat member libraries worldwide
This book presents the problems and workedout solutions for all the exercises in the text by Malliavin. It will be of use not only to mathematics teachers, but also to students using the text for selfstudy
Several complex variables and holomorphic partial differential equations fonctions de plusieurs variables complexes et équations aux dérivées partielles holomorphes
by
Jean Leray(
Book
)
2 editions published in 1998 in French and held by 28 WorldCat member libraries worldwide
2 editions published in 1998 in French and held by 28 WorldCat member libraries worldwide
Fluid dynamics and real partial differential equations équations aux dérivées partielles réelles et mécanique des fluides
by
Jean Leray(
Book
)
1 edition published in 1998 in French and held by 22 WorldCat member libraries worldwide
1 edition published in 1998 in French and held by 22 WorldCat member libraries worldwide
Dialogues autour de la création mathématique
(
Book
)
1 edition published in 1997 in French and held by 21 WorldCat member libraries worldwide
1 edition published in 1997 in French and held by 21 WorldCat member libraries worldwide
Sur quelques procedes d'extrapolation
by
Paul Malliavin(
Book
)
5 editions published in 1954 in French and held by 18 WorldCat member libraries worldwide
5 editions published in 1954 in French and held by 18 WorldCat member libraries worldwide
Topology and fixed point theorems Topologie et théorème du point fixe
by
Jean Leray(
Book
)
1 edition published in 1998 in French and held by 17 WorldCat member libraries worldwide
1 edition published in 1998 in French and held by 17 WorldCat member libraries worldwide
Stochastic calculus of variations in financial mathematics
by
Paul Malliavin(
Book
)
2 editions published between 2004 and 2006 in English and held by 16 WorldCat member libraries worldwide
2 editions published between 2004 and 2006 in English and held by 16 WorldCat member libraries worldwide
On the closedness of singular loci
by
Masayoshi Nagata(
Book
)
5 editions published in 1959 in English and French and held by 16 WorldCat member libraries worldwide
5 editions published in 1959 in English and French and held by 16 WorldCat member libraries worldwide
Geometric stochastic calculus
by
Paul Malliavin(
Book
)
4 editions published in 2002 in English and held by 9 WorldCat member libraries worldwide
4 editions published in 2002 in English and held by 9 WorldCat member libraries worldwide
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Abelian groups Algebra Algebraic topology Calculus, Integral Calculus of variations Differentiable dynamical systems Differential equations Differential equations, Partial Distribution (Probability theory) Finance FinanceMathematical models Fluid mechanics Fourier analysis France Functional equations Functions of several complex variables Geometry, Differential Global analysis (Mathematics) Group theory Harmonic analysis Lie groups Malliavin calculus Mathematical analysis Mathematicians Mathematics MathematicsStudy and teaching Rings (Algebra) Spectral theory (Mathematics) Stochastic analysis Stochastic differential equations Stochastic processes Transformations (Mathematics) United States