Stochastic Analysis - Ito and Malliavin Calculus in Tandem

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

Sommario

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.

Info autore

Hiroyuki Matsumoto is Professor of Mathematics at Aoyama Gakuin University. He graduated from Kyoto University in 1982 and received his doctor of science degree from Osaka University in 1989. His research focuses on stochastic analysis and its applications to spectral analysis of Schrödinger operations and Selberg's trace formula, and he has published several books in Japanese, including Stochastic Calculus and Introduction to Probability and Statistics. He is a member of the Mathematical Society of Japan and an editor of the MSJ Memoirs.

Riassunto

This compact, graduate-level text develops the Itô calculus and the Malliavin calculus in tandem, laying out a balanced toolbox for researchers and students in mathematics and mathematical finance, and taking readers from foundations to current, groundbreaking applications.

Dettagli sul prodotto

• Autori: Hiroyuki Matsumoto, Hiroyuki (Aoyama Gakuin University Matsumoto, Hiroyuki Taniguchi Matsumoto, Setsuo Taniguchi, Setsuo (Kyushu University Taniguchi
• Editore: Cambridge University Press ELT
• Lingue: Inglese
• Formato: Copertina rigida
• Pubblicazione: 07.11.2016
• EAN: 9781107140516
• ISBN: 978-1-107-14051-6
• Pagine: 357
• Serie: Cambridge Studies in Advanced Mathematics; Cambridge Studies in Advanced
• Categoria: Scienze naturali, medicina, informatica, tecnica > Matematica > Teoria delle probabilità, stocastica, statistica matematica