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  • Language: English
  • Binding: Hardcover
  • Publisher: De Gruyter
  • Genre: Mathematics
  • ISBN: 9783110377767, 9783110377767
  • Pages: 288
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Stochastic Calculus of Variations Specifications

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Stochastic Calculus of Variations Features & Specifications stand apart in the PBWL : Stochastics category. The details about Stochastic Calculus of Variations(English, Hardcover, Ishikawa Yasushi) are given below as well. Unboxing Stochastic Calculus of Variations specs Language: English, Binding: Hardcover, Publisher: De Gruyter, Genre: Mathematics, ISBN: 9783110377767, 9783110377767, Pages: 288, & more details are given below

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. Namely, asymptotic expansions functionals related with financial assets of jump-diffusion are provided based on the theory of asymptotic expansion on the Wiener-Poisson space. Solving the Hamilton-Jacobi-Bellman (HJB) equation of integro-differential type is related with solving the classical Merton problem and the Ramsey theory.The field of jump processes is nowadays quite wide-ranging, from the Levy processes to SDEs with jumps. Recent developments in stochastic analysis have enabled us to express various results in a compact form. Up to now, these topics were rarely discussed in a monograph. Contents:PrefacePreface to the second editionIntroductionLevy processes and Ito calculusPerturbations and properties of the probability lawAnalysis of Wiener-Poisson functionalsApplicationsAppendixBibliographyList of symbolsIndex

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Stochastic Calculus of Variations Specs

Book Details

Imprint De Gruyter

Dimensions

Height 240 mm
Length 170 mm
Weight 630 gr

Books Info

Language English
Binding Hardcover
Pages 288
Publisher De Gruyter
Year 0
Author Ishikawa Yasushi 

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