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Více informací o knize Stochastic Analysis

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Anotace knihy

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.

Parametry knihy

Zařazení knihy Knihy v angličtině Mathematics & science Mathematics Applied mathematics

• Plný název: Stochastic Analysis
• Podnázev: Ito and Malliavin Calculus in Tandem
• Autor: MATSUMOTO HIROYUKI
• Jazyk: Angličtina
• Vazba: Pevná
• Počet stran: 357
• EAN: 9781107140516
• ISBN: 9781107140516
• ID: 10006839
• Nakladatelství: Cambridge University Press
• Hmotnost: 638 g
• Rozměry: 161 × 235 × 26 mm
• Datum vydání: 07. November 2016

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