Stochastic Calculus via Regularizations (Hardcover, 1st ed. 2022)

The book constitutes an introduction to stochastic calculus, stochastic differential equations and related topics such as Malliavin calculus. On the other hand it focuses on the techniques of stochastic integration and calculus via regularization initiated by the authors. The definitions relies on a smoothing procedure of the integrator process, they generalize the usual Ito and Stratonovich integrals for Brownian motion but the integrator could also not be a semimartingale and the integrand is allowed to be anticipating. The resulting calculus requires a simple formalism: nevertheless it entails pathwise techniques even though it takes into account randomness. It allows connecting different types of pathwise and non pathwise integrals such as Young, fractional, Skorohod integrals, enlargement of filtration and rough paths. The covariation, but also high order variations, play a fundamental role in the calculus via regularization, which can also be applied for irregular integrators. A large class of Gaussian processes, various generalizations of semimartingales such that Dirichlet and weak Dirichlet processes are revisited. Stochastic calculus via regularization has been successfully used in applications, for instance in robust finance and on modeling vortex filaments in turbulence. The book is addressed to PhD students and researchers in stochastic analysis and applications to various fields.

General

Imprint:	Springer International Publishing AG
Country of origin:	Switzerland
Series:	Bocconi & Springer Series, 11
Release date:	November 2022
First published:	2022
Authors:	Francesco Russo • Pierre Vallois
Dimensions:	235 x 155mm (L x W)
Format:	Hardcover
Pages:	638
Edition:	1st ed. 2022
ISBN-13:	978-3-03-109445-3
Categories:	Books > Science & Mathematics > Mathematics > Probability & statistics Books > Science & Mathematics > Mathematics > Calculus & mathematical analysis > Vector & tensor analysis Promotions
LSN:	3-03-109445-X
Barcode:	9783031094453

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