Stochastic Analysis : Ito and Malliavin Calculus in Tandem

Stochastic Analysis : Ito and Malliavin Calculus in Tandem

Description

Thanks to the driving forces of the Ito 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.


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Details

Author(s)
Hiroyuki Matsumoto, Setsuo Taniguchi
Format
Hardback | 357 pages
Dimensions
157 x 235 x 25mm | 630g
Publication date
07 Nov 2016
Publisher
CAMBRIDGE UNIVERSITY PRESS
Publication City/Country
Cambridge, United Kingdom
Language
English
Edition Statement
Translation
ISBN10
110714051X
ISBN13
9781107140516
Bestsellers rank
2,583,072