Stochastic Calculus of Variations for Jump Processes
Seiten
| Ausstattung: Hardcover & eBook
2013
De Gruyter
978-3-11-028201-6 (ISBN)
De Gruyter
978-3-11-028201-6 (ISBN)
- Titel leider nicht mehr lieferbar
- Artikel merken
This monograph is a concise introduction to the stochastic calculus of variations (also known as Malliavin calculus) for processes with jumps. It is written for researchers and graduate students who are interested in Malliavin calculus for jump processes. In this book processes "with jumps" includes both pure jump processes and jump-diffusions. The author provides many results on this topic in a self-contained way; this also applies to stochastic differential equations (SDEs) "with jumps". The book also contains some applications of the stochastic calculus for processes with jumps to the control theory and mathematical finance. Up to now, these topics were rarely discussed in a monograph.
Yasushi Ishikawa, Ehime University, Matsuyama, Japan.
Reihe/Serie | De Gruyter Studies in Mathematics ; 54 |
---|---|
Zusatzinfo | Includes a print version and an ebook |
Verlagsort | Berlin |
Sprache | englisch |
Maße | 170 x 240 mm |
Themenwelt | Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik |
Schlagworte | Calculus of Variations • jump process • Jump Processes • Lévy process • Malliavin calculus • Malliavin-Kalkül • Poisson space • S.D.E. • Sprungprozess • Stochastic Calculus • Wiener-Poisson functional |
ISBN-10 | 3-11-028201-1 / 3110282011 |
ISBN-13 | 978-3-11-028201-6 / 9783110282016 |
Zustand | Neuware |
Haben Sie eine Frage zum Produkt? |