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Stochastic Analysis: Itô and Malliavin Calculus in Tandem: Cambridge Studies in Advanced Mathematics, cartea 159

Autor Hiroyuki Matsumoto, Setsuo Taniguchi
en Limba Engleză Hardback – 6 noi 2016
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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Specificații

ISBN-13: 9781107140516
ISBN-10: 110714051X
Pagini: 357
Dimensiuni: 157 x 235 x 25 mm
Greutate: 0.6 kg
Editura: Cambridge University Press
Colecția Cambridge University Press
Seria Cambridge Studies in Advanced Mathematics

Locul publicării:New York, United States

Cuprins

Preface; Frequently used notation; 1. Fundamentals of continuous stochastic processes; 2. Stochastic integrals and Itô's formula; 3. Brownian motion and Laplacian; 4. Stochastic differential equations; 5. Malliavin calculus; 6. Black-Scholes model; 7. Semiclassical limit; Appendix; References; Subject index.

Recenzii

'This book is a comprehensive guide to stochastic analysis related to Brownian motion. It contains the basis of the Itô calculus and the Malliavin calculus, which are the heart of the modern analysis of Brownian motion. The book is self-contained and it is accessible for graduate students and researchers who wish to learn about stochastic differential equations.' Hiroshi Kunita
'A very readable text on stochastic integrals and differential equations for novices to the area, including a substantial chapter on analysis on Wiener space and Malliavin calculus. The many examples and applications included, such as Schilder's theorem, Ramer's theorem, semi-classical limits, quadratic Wiener functionals, and rough paths, give additional value.' David Elworthy, University of Warwick
'This book develops stochastic analysis from the path space point of view, with an emphasis on the connection between Brownian motion and partial differential equations. A detailed treatment of Malliavin calculus and important applications in finance and physics make this monograph an innovative and useful reference in the field.' David Nualart, University of Kansas

Notă biografică


Descriere

Developing the Itô calculus and Malliavin calculus in tandem, this book crystallizes modern day stochastic analysis into a single volume.