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Stochastic analysis = Ito and Mallia...

Matsumoto, Hiroyuki, (1946-)

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Stochastic analysis = Ito and Malliavin calculus in tandem /

Record Type:	Electronic resources : Monograph/item
Title/Author:	Stochastic analysis/ Hiroyuki Matsumoto, Aoyama Gakuin University, Japan, Setsuo Taniguchi, Kyushu University, Japan.
Reminder of title:	Ito and Malliavin calculus in tandem /
Author:	Matsumoto, Hiroyuki,
other author:	Taniguchi, Setsuo,
Published:	New York :Cambridge University Press, : 2017.,
Description:	xii, 346 p. :ill., digital ;24 cm.
Notes:	Translated and adapted from the Japanese edition: Kakuritsu Kaiseki, 2013.
Subject:	Stochastic analysis. -
Online resource:	https://doi.org/10.1017/9781316492888
ISBN:	9781316492888

Stochastic analysis = Ito and Malliavin calculus in tandem /
Matsumoto, Hiroyuki,1946-

Stochastic analysisIto and Malliavin calculus in tandem /[electronic resource] :Hiroyuki Matsumoto, Aoyama Gakuin University, Japan, Setsuo Taniguchi, Kyushu University, Japan. - New York :Cambridge University Press,2017. - xii, 346 p. :ill., digital ;24 cm. - Cambridge studies in advanced mathematics ;159. - Cambridge studies in advanced mathematics ;159..

Translated and adapted from the Japanese edition: Kakuritsu Kaiseki, 2013.

Thanks to the driving forces of the Ito 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.

ISBN: 9781316492888Subjects--Topical Terms:

533923
Stochastic analysis.

LC Class. No.: QA274.2 / .M3813 2017

Dewey Class. No.: 519.22

Stochastic analysis = Ito and Malliavin calculus in tandem /
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050 4 $a QA274.2 $b .M3813 2017
082 0 4 $a 519.22 $2 23
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100 1 $a Matsumoto, Hiroyuki, $d 1946- $3 3470386
240 1 0 $a Kakuritsu Kaiseki. $l English
245 1 0 $a Stochastic analysis $h [electronic resource] : $b Ito and Malliavin calculus in tandem / $c Hiroyuki Matsumoto, Aoyama Gakuin University, Japan, Setsuo Taniguchi, Kyushu University, Japan.
260 $a New York : $b Cambridge University Press, $c 2017.
300 $a xii, 346 p. : $b ill., digital ; $c 24 cm.
490 1 $a Cambridge studies in advanced mathematics ; $v 159
500 $a Translated and adapted from the Japanese edition: Kakuritsu Kaiseki, 2013.
500 $a Title from publisher's bibliographic system (viewed on 02 Dec 2016).
520 $a Thanks to the driving forces of the Ito 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.
650 0 $a Stochastic analysis. $3 533923
700 1 $a Taniguchi, Setsuo, $d 1956- $3 3470387
830 0 $a Cambridge studies in advanced mathematics ; $v 159. $3 3470388
856 4 0 $u https://doi.org/10.1017/9781316492888