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题名/责任者:

Stochastic Analysis: It? and Malliavin Calculus in Tandem (Cambridge Studies in Advanced Mathematics)

出版发行项:

Cambridge University Press 2016

ISBN:

9781107140516

载体形态项:

300

翻译题名:

随机分析: It?和Tania的Malliavin微积分( 剑桥高等数学研究)

丛编说明:

Cambridge Studies in Advanced Mathematics (Book 159)

一般附注:

Hardcover

摘要附注:

Thanks to the driving forces of the It? 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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