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Stochastic analysis = Ito and Mallia...

Matsumoto, Hiroyuki, (1946-)

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Stochastic analysis = Ito and Malliavin calculus in tandem /

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Stochastic analysis/ Hiroyuki Matsumoto, Aoyama Gakuin University, Japan, Setsuo Taniguchi, Kyushu University, Japan.
其他題名:	Ito and Malliavin calculus in tandem /
作者:	Matsumoto, Hiroyuki,
其他作者:	Taniguchi, Setsuo,
出版者:	New York :Cambridge University Press, : 2017.,
面頁冊數:	xii, 346 p. :ill., digital ;24 cm.
附註:	Translated and adapted from the Japanese edition: Kakuritsu Kaiseki, 2013.
標題:	Stochastic analysis. -
電子資源:	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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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.
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700 1 $a Taniguchi, Setsuo, $d 1956- $3 3470387
830 0 $a Cambridge studies in advanced mathematics ; $v 159. $3 3470388
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