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Cambridge Studies in Advanced Mathematics: Series Number 159: Stochastic Analysis: Ito and Malliavin Calculus in Tandem
Hiroyuki Matsumoto
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Description for Cambridge Studies in Advanced Mathematics: Series Number 159: Stochastic Analysis: Ito and Malliavin Calculus in Tandem
hardcover. Developing the Ito calculus and Malliavin calculus in tandem, this book crystallizes modern day stochastic analysis into a single volume. Series: Cambridge Studies in Advanced Mathematics. Num Pages: 357 pages. BIC Classification: PBT; PBWL. Category: (U) Tertiary Education (US: College). Dimension: 161 x 235 x 26. Weight in Grams: 630.
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 ... Read more
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 ... Read more
Product Details
Publisher
Cambridge University Press
Format
Hardback
Publication date
2016
Series
Cambridge Studies in Advanced Mathematics
Condition
New
Weight
629g
Number of Pages
357
Place of Publication
Cambridge, United Kingdom
ISBN
9781107140516
SKU
V9781107140516
Shipping Time
Usually ships in 7 to 11 working days
Ref
99-14
About Hiroyuki Matsumoto
Hiroyuki Matsumoto is Professor of Mathematics at Aoyama Gakuin University. He graduated from Kyoto University in 1982 and received his doctor of science degree from Osaka University in 1989. His research focuses on stochastic analysis and its applications to spectral analysis of Schroedinger operations and Selberg's trace formula, and he has published several books in Japanese, including Stochastic Calculus and ... Read more
Reviews for Cambridge Studies in Advanced Mathematics: Series Number 159: Stochastic Analysis: Ito and Malliavin Calculus in Tandem
'This book is a comprehensive guide to stochastic analysis related to Brownian motion. It contains the basis of the Ito calculus and the Malliavin calculus, which are the heart of the modern analysis of Brownian motion. The book is self-contained and it is accessible for graduate students and researchers who wish to learn about stochastic differential equations.' Hiroshi Kunita 'A ... Read more