Stochastic analysis: Ito and Malliavin calculus in tandem

By:

Matsumoto, Hiroyuki

Contributor(s):

Taniguchi, Setsuo

Series: Cambridge studies in advanced mathematics ; 159Publication details: Cambridge University Press, 2016. Cambridge:Description: xii, 346 p. : hb. 24 cmISBN:

9781107140516

Subject(s):

DDC classification:

519.22 MAT

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.

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Item type	Current library	Collection	Call number	Copy number	Status	Date due	Barcode
Books	IIT Gandhinagar General Stacks	General	519.22 MAT (Browse shelf(Opens below))	1	Available		030169

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Previous	519.209 DIA Ten great ideas about chance	519.22 BAL Stochastic calculus: an introduction through theory and exercises	519.22 KHO Analysis of stochastic partial differential equations	519.22 MAT Stochastic analysis: Ito and Malliavin calculus in tandem	519.23 BER Random fragmentation and coagulation processes	519.23 BOV Gaussian processes on trees: from spin glasses to branching Brownian motion	519.23 KAR Introduction to stochastic calculus	Next

Includes bibliographical references (pages 337-343) and index.

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.

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