Stochastic Analysis : Ito and Malliavin Calculus in Tandem
Book Details
Format
Hardback or Cased Book
Book Series
Cambridge Studies in Advanced Mathematics
ISBN-10
110714051X
ISBN-13
9781107140516
Publisher
Cambridge University Press
Imprint
Cambridge University Press
Country of Manufacture
US
Country of Publication
GB
Publication Date
Nov 7th, 2016
Print length
357 Pages
Weight
63 grams
Dimensions
16.10 x 23.50 x 2.60 cms
Product Classification:
Probability & statisticsProbability and statisticsStochastics
Ksh 11,350.00
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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.
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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