{"product_id":"stochastic-analysis-ito-and-malliavin-calculus-in-tandem-hardback-9781107140516","title":"Stochastic Analysis; Itô and Malliavin Calculus in Tandem (Hardback) 9781107140516","description":"\u003cfont face=\"Georgia\"\u003e\r\n\u003cp\u003e\u003cfont size=\"6\"\u003eStochastic Analysis\u003c\/font\u003e\u003cbr\u003e\r\n\u003cfont size=\"5\"\u003eItô and Malliavin Calculus in Tandem\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cem\u003eDeveloping the Itô calculus and Malliavin calculus in tandem, this book crystallizes modern day stochastic analysis into a single volume.\u003c\/em\u003e\u003c\/p\u003e\r\n\r\n\r\n\u003cp\u003e\u003cfont size=\"4\"\u003eHiroyuki Matsumoto (Author), Setsuo Taniguchi (Author)\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e9781107140516, Cambridge University Press\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eHardback, published 7 November 2016\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e357 pages\u003cbr\u003e23.5 x 15.7 x 2.5 cm, 0.63 kg\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\r\n\u003cp align=\"justify\"\u003e\u003cem\u003e\u003cfont size=\"3\"\u003e'This book develops stochastic analysis from the path space point of view, with an emphasis on the connection between Brownian motion and partial differential equations. A detailed treatment of Malliavin calculus and important applications in finance and physics make this monograph an innovative and useful reference in the field.' David Nualart, University of Kansas\u003c\/font\u003e\u003c\/em\u003e\u003c\/p\u003e\r\n\r\n\u003cp align=\"justify\"\u003e\u003cstrong\u003e\u003cfont size=\"3\"\u003eThanks to the driving forces of the Itô 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.\u003c\/font\u003e\u003c\/strong\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003ePreface\u003cbr\u003e Frequently used notation\u003cbr\u003e 1. Fundamentals of continuous stochastic processes\u003cbr\u003e 2. Stochastic integrals and Itô's formula\u003cbr\u003e 3. Brownian motion and Laplacian\u003cbr\u003e 4. Stochastic differential equations\u003cbr\u003e 5. Malliavin calculus\u003cbr\u003e 6. Black-Scholes model\u003cbr\u003e 7. Semiclassical limit\u003cbr\u003e Appendix\u003cbr\u003e References\u003cbr\u003e Subject index.\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eSubject Areas: Stochastics [\u003ca title=\"See our other books on Stochastics\" href=\"https:\/\/freshlyprintedbooks.co.uk\/search?q=%22Stochastics%20%5BPBWL%5D%22\"\u003ePBWL\u003c\/a\u003e], Probability \u0026amp; statistics [\u003ca title=\"See our other books on Probability \u0026amp; statistics\" href=\"https:\/\/freshlyprintedbooks.co.uk\/search?q=%22Probability%20\u0026amp;%20statistics%20%5BPBT%5D%22\"\u003ePBT\u003c\/a\u003e]\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\u003c\/font\u003e","brand":"Cambridge University Press","offers":[{"title":"Default Title","offer_id":46265637175576,"sku":"9781107140516","price":48.85,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0730\/2037\/5320\/products\/9781107140516i.jpg?v=1692025148","url":"https:\/\/freshlyprintedbooks.co.uk\/products\/stochastic-analysis-ito-and-malliavin-calculus-in-tandem-hardback-9781107140516","provider":"Freshly Printed Books","version":"1.0","type":"link"}