000			01614 a2200241 4500
999			_c54537 _d54537
008			210324b ||||| |||| 00| 0 eng d
020			_a9781107140516
082			_a519.22 _bMAT
100			_aMatsumoto, Hiroyuki
245			_aStochastic analysis: Ito and Malliavin calculus in tandem
260			_bCambridge University Press, _c2016. _aCambridge:
300			_axii, 346 p. : _bhb. _c24 cm.
365			_aGBP _b51.99
440			_aCambridge studies in advanced mathematics ; 159.
504			_aIncludes bibliographical references (pages 337-343) and index.
520			_aThanks 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.
650			_aStochastic analysis
650			_aApplied mathematics
650			_aProbabilities
650			_aMathematics
700			_aTaniguchi, Setsuo
942			_2ddc _cTD