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Stochastic Analysis - Ito and Malliavin Calculus in Tandem (Hardcover)
Loot Price: R1,770
Discovery Miles 17 700
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Stochastic Analysis - Ito and Malliavin Calculus in Tandem (Hardcover)
Series: Cambridge Studies in Advanced Mathematics
Expected to ship within 12 - 17 working days
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Thanks to the driving forces of the Ito 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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