Stochastic analysis: Itô and malliavin calculus in tandem

Hiroyuki Matsumoto, Setsuo Taniguchi

研究成果: 書籍/レポート タイプへの寄稿

2 被引用数 (Scopus)

抄録

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.

本文言語英語
ホスト出版物のタイトルStochastic Analysis
ホスト出版物のサブタイトルIto and Malliavin Calculus in Tandem
出版社Cambridge University Press
ページ1-346
ページ数346
ISBN(電子版)9781316492888
ISBN(印刷版)9781107140516
DOI
出版ステータス出版済み - 1月 1 2016

!!!All Science Journal Classification (ASJC) codes

  • 数学 (全般)

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