Stochastic Analysis

Name: Stochastic Analysis
Brand: Cambridge University Press
SKU: 9781107140516
Price: 358.39 RON
Availability: InStock

Ito and Malliavin Calculus in Tandem

Autor: MATSUMOTO HIROYUKI

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Legare: Copertă tare

Editura: Cambridge University Press

Disponibilitate: În depozitul extern

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358.39 lei

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

Informații despre carte

Autor

MATSUMOTO HIROYUKI

Limbă

engleză

Legare

Carte - Copertă tare

Publicat

2016

Pagini

357

EAN

9781107140516

ISBN

9781107140516

Enbook ID

10006839

Editura

Cambridge University Press

Greutate

638

Dimensiuni

235 x 161 x 26

Descriere completă

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.

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Stochastic Analysis

Ito and Malliavin Calculus in Tandem

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