Stochastic Analysis: Itô and Malliavin Calculus in Tandem

by Hiroyuki Matsumoto and Setsuo Taniguchi

Thanks to the driving forces of the It 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...

• Format: Hardcover
• Language: English
• ISBN: 110714051X
• ISBN13: 9781107140516
• Release Date: November 2016
• Publisher: Cambridge University Press
• Length: 357 Pages
• Weight: 1.33 lbs.
• Dimensions: 1.0" x 6.2" x 9.4"