### 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.

元の言語 | 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 |

出版者 | Cambridge University Press |

ページ | 1-346 |

ページ数 | 346 |

ISBN（電子版） | 9781316492888 |

ISBN（印刷物） | 9781107140516 |

DOI | |

出版物ステータス | 出版済み - 1 1 2016 |

### Fingerprint

### All Science Journal Classification (ASJC) codes

- Mathematics(all)

### これを引用

*Stochastic Analysis: Ito and Malliavin Calculus in Tandem*(pp. 1-346). Cambridge University Press. https://doi.org/10.1017/9781316492888

**Stochastic analysis : Itô and malliavin calculus in tandem.** / Matsumoto, Hiroyuki; Taniguchi, Setsuo.

研究成果: 著書/レポートタイプへの貢献 › 章

*Stochastic Analysis: Ito and Malliavin Calculus in Tandem.*Cambridge University Press, pp. 1-346. https://doi.org/10.1017/9781316492888

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T2 - Itô and malliavin calculus in tandem

AU - Matsumoto, Hiroyuki

AU - Taniguchi, Setsuo

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Y1 - 2016/1/1

N2 - 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.

AB - 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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