Stochastic Analysis

Itô and Malliavin Calculus in Tandem

Nonfiction, Science & Nature, Mathematics, Probability, Statistics
Cover of the book Stochastic Analysis by Hiroyuki Matsumoto, Setsuo Taniguchi, Cambridge University Press
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Author: Hiroyuki Matsumoto, Setsuo Taniguchi ISBN: 9781108105842
Publisher: Cambridge University Press Publication: November 7, 2016
Imprint: Cambridge University Press Language: English
Author: Hiroyuki Matsumoto, Setsuo Taniguchi
ISBN: 9781108105842
Publisher: Cambridge University Press
Publication: November 7, 2016
Imprint: Cambridge University Press
Language: English

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.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

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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