Selected Topics in Malliavin Calculus

lt;b>Laurent Decreusefond is a former student of Ecole Normale Supérieure de Paris-Saclay. He received the Agrégation in 1989, his PhD in 1994 and his Habilitation in 2001 in Mathematics. He is now a full professor of Mathematics at the Institut Polytechnique de Paris, one of the most renowned French research and teaching institutions.
His research topics are twofold. The theoretical part is devoted to Malliavin calculus and its applications. He is the author of a highly cited paper about fractional Brownian motion that paved the way to a thousand research articles.   Recently, he has been interested in the functional Stein-Malliavin method, which gives the convergence rate in functional limit theorems.
On a more applied part, he proposed new paradigms for stochastic modelling of telecom systems, including stochastic geometry and random topological algebra.
He coauthored several papers that gave a new approach to the coverage analysis of cellular systems. The performance of some of the algorithms so defined may be analysed with mathematical tools coming from the Malliavin calculus, such as concentration inequalities.

- 1. Wiener Space. - 2. Gradient and Divergence. - 3. Wiener Chaos. - 4. Fractional Brownian Motion. - 5. Poisson Space. - 6. The Malliavin-Stein Method.

"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." (Jean Picard, zbMATH 1514.60002, 2023)

“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.” (Jean Picard, zbMATH 1514.60002, 2023)