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Stochastic Analysis

Name: Stochastic Analysis
Brand: Cambridge University Press
SKU: 10006839
Price: 80.99 EUR
Availability: InStock
Author: MATSUMOTO HIROYUKI
ISBN: 9781107140516

Ito and Malliavin Calculus in Tandem

MATSUMOTO HIROYUKI

Language

English

Book Hardback

Libristo code: 10006839

Publishers Cambridge University Press, November 2016

Thanks to the driving forces of the Itô calculus and the Malliavin calculus, stochastic analysis has... Full description

Libristo code: 10006839

198 b

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Thanks to the driving forces of the Itô calculus and the Malliavin calculus, stochastic analysis has expanded into numerous fields including partial differential equations, physics, and mathematical finance. This book is a compact, graduate-level text that develops the two calculi in tandem, laying out a balanced toolbox for researchers and students in mathematics and mathematical finance. The book explores foundations and applications of the two calculi, including stochastic integrals and differential equations, and the distribution theory on Wiener space developed by the Japanese school of probability. Uniquely, the book then delves into the possibilities that arise by using the two flavors of calculus together. Taking a distinctive, path-space-oriented approach, this book crystallizes modern day stochastic analysis into a single volume.