Stochastic calculus of variations for jump processes
This monograph is a concise introduction to the stochastic calculus of variations for processes with jumps. It is written for researchers and graduate students who are interested in Malliavin calculus for jump processes. The author provides many results on this topic in a self-contained way. The boo...
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| Format: | eBook |
| Language: | English |
| Published: |
Berlin ; Boston
De Gruyter,
[2016]
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| Edition: | 2nd edition. |
| Series: | De Gruyter studies in mathematics ;
54. |
| Subjects: | |
| Online Access: | EBSCOhost Перейти в каталог НБ ТГУ |
| Summary: | This monograph is a concise introduction to the stochastic calculus of variations for processes with jumps. It is written for researchers and graduate students who are interested in Malliavin calculus for jump processes. The author provides many results on this topic in a self-contained way. The book also contains some applications of the stochastic calculus for processes with jumps to the control theory and mathematical finance. |
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| Physical Description: | 1 online resource (x, 278 pages) |
| Bibliography: | Includes bibliographical references (pages 265-274) and index. |
| ISBN: | 9783110378078 3110378078 9783110392326 3110392321 |
| ISSN: | 0179-0986 ; |