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The Resource Stochastic analysis : Itô and Malliavin calculus in tandem, Hiroyuki Matsumoto, Aoyama Gakuin University, Japan, Setsuo Taniguchi, Kyushu University, Japan

Stochastic analysis : Itô and Malliavin calculus in tandem, Hiroyuki Matsumoto, Aoyama Gakuin University, Japan, Setsuo Taniguchi, Kyushu University, Japan

Label
Stochastic analysis : Itô and Malliavin calculus in tandem
Title
Stochastic analysis
Title remainder
Itô and Malliavin calculus in tandem
Statement of responsibility
Hiroyuki Matsumoto, Aoyama Gakuin University, Japan, Setsuo Taniguchi, Kyushu University, Japan
Creator
Contributor
Subject
Language
  • eng
  • jap
  • eng
Summary
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
Member of
http://library.link/vocab/creatorDate
1946-
http://library.link/vocab/creatorName
Matsumoto, Hiroyuki
Dewey number
519.2/2
Index
index present
Literary form
non fiction
Nature of contents
dictionaries
http://library.link/vocab/relatedWorkOrContributorDate
1956-
http://library.link/vocab/relatedWorkOrContributorName
Taniguchi, Setsuo
Series statement
Cambridge studies in advanced mathematics
Series volume
159
http://library.link/vocab/subjectName
Stochastic analysis
Label
Stochastic analysis : Itô and Malliavin calculus in tandem, Hiroyuki Matsumoto, Aoyama Gakuin University, Japan, Setsuo Taniguchi, Kyushu University, Japan
Instantiates
Publication
Note
  • Translated and adapted from the Japanese edition: Kakuritsu Kaiseki, 2013
  • Title from publisher's bibliographic system (viewed on 02 Dec 2016)
Control code
CR9781316492888
Extent
1 online resource (xii, 346 pages)
Form of item
online
Isbn
9781316492888
Isbn Type
(ebook)
Other physical details
digital, PDF file(s)
Specific material designation
remote
System control number
CR9781316492888
Label
Stochastic analysis : Itô and Malliavin calculus in tandem, Hiroyuki Matsumoto, Aoyama Gakuin University, Japan, Setsuo Taniguchi, Kyushu University, Japan
Publication
Note
  • Translated and adapted from the Japanese edition: Kakuritsu Kaiseki, 2013
  • Title from publisher's bibliographic system (viewed on 02 Dec 2016)
Control code
CR9781316492888
Extent
1 online resource (xii, 346 pages)
Form of item
online
Isbn
9781316492888
Isbn Type
(ebook)
Other physical details
digital, PDF file(s)
Specific material designation
remote
System control number
CR9781316492888

Library Locations

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