Hiroyuki Matsumoto (Japan Aoyama Gakuin University), Setsuo Taniguchi (Japan Kyushu University)

Stochastic Analysis

Itô and Malliavin Calculus in Tandem

• Gebundenes Buch

Produktbeschreibung

This compact, graduate-level text develops the Ito calculus and the Malliavin calculus in tandem, laying out a balanced toolbox for researchers and students in mathematics and mathematical finance, and taking readers from foundations to current, groundbreaking applications.

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Produktdetails

• Verlag: Cambridge University Press
• Seitenzahl: 357
• Erscheinungstermin: 7. November 2016
• Englisch
• Abmessung: 234mm x 161mm x 27mm
• Gewicht: 638g
• ISBN-13: 9781107140516
• ISBN-10: 110714051X
• Artikelnr.: 45154616

Autorenporträt

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 Schrödinger operations and Selberg's trace formula, and he has published several books in Japanese, including Stochastic Calculus and Introduction to Probability and Statistics. He is a member of the Mathematical Society of Japan and an editor of the MSJ Memoirs.

Inhaltsangabe

Preface
Frequently used notation
1. Fundamentals of continuous stochastic processes
2. Stochastic integrals and Itô's formula
3. Brownian motion and Laplacian
4. Stochastic differential equations
5. Malliavin calculus
6. Black-Scholes model
7. Semiclassical limit
Appendix
References
Subject index.