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  • 1
    Buch
    Buch
    Stochastic calculus of variations for jump processes / (2013)
    Berlin [u.a.] :de Gruyter,
    Details
    UID:
    almahu_BV041089178
    Umfang: VIII, 266 S. ; , 240 mm x 170 mm.
    ISBN: 978-3-11-028180-4
    Serie: De Gruyter studies in mathematics 54
    Anmerkung: Weitere Ausg.: Online-Ausg.
    Weitere Ausg.: Erscheint auch als Online-Ausgabe ISBN 978-3-11-028200-9
    Sprache: Englisch
    Fachgebiete: Mathematik
    RVK:
    SK 820
    Schlagwort(e): Sprungprozess ; Malliavin-Kalkül ; Bibliografie
    URL: Inhaltstext
    URL: Inhaltsverzeichnis
    URL: Inhaltstext
    URL: Inhaltstext
    Mehr zum Autor: Ishikawa, Yasushi 1959-
    Bibliothek Standort Signatur Band/Heft/Jahr Verfügbarkeit
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  • 2
    Online-Ressource
    Online-Ressource
    Stochastic Calculus of Variations for Jump Processes / (2013)
    Berlin ; : De Gruyter,
    Details
    UID:
    almahu_9949462261802882
    Umfang: 1 online resource (266 p.)
    ISBN: 9783110282009 , 9783110494938
    Serie: De Gruyter Studies in Mathematics , 54
    Inhalt: This monograph is a concise introduction to the stochastic calculus of variations (also known as Malliavin calculus) for processes with jumps. It is written for researchers and graduate students who are interested in Malliavin calculus for jump processes. In this book processes "with jumps" includes both pure jump processes and jump-diffusions. The author provides many results on this topic in a self-contained way; this also applies to stochastic differential equations (SDEs) "with jumps". The book also contains some applications of the stochastic calculus for processes with jumps to the control theory and mathematical finance. Namely, asymptotic expansions functionals related with financial assets of jump-diffusion are provided based on the theory of asymptotic expansion on the Wiener-Poisson space. Solving the Hamilton-Jacobi-Bellman (HJB) equation of integro-differential type is related with solving the classical Merton problem and the Ramsey theory. The field of jump processes is nowadays quite wide-ranging, from the Lévy processes to SDEs with jumps. Recent developments in stochastic analysis have enabled us to express various results in a compact form. Up to now, these topics were rarely discussed in a monograph.
    Anmerkung: Frontmatter -- , Preface -- , Contents -- , 0. Introduction -- , 1. Lévy processes and Itô calculus -- , 2. Perturbations and properties of the probability law -- , 3. Analysis of Wiener-Poisson functionals -- , 4. Applications -- , Appendix -- , Bibliography -- , List of symbols -- , Index , Issued also in print. , Mode of access: Internet via World Wide Web. , In English.
    In: DG Studies in Mathematics eBook-Package, De Gruyter, 9783110494938
    In: DGBA Backlist Complete English Language 2000-2014 PART1, De Gruyter, 9783110238570
    In: DGBA Backlist Mathematics 2000-2014 (EN), De Gruyter, 9783110238471
    In: DGBA Mathematics - 2000 - 2014, De Gruyter, 9783110637205
    In: E-BOOK GESAMTPAKET / COMPLETE PACKAGE 2013, De Gruyter, 9783110317350
    In: E-BOOK PACKAGE MATHEMATICS, PHYSICS, ENGINEERING 2013, De Gruyter, 9783110317282
    In: E-BOOK PAKET MATHEMATIK, PHYSIK, INGENIEURWISS. 2013, De Gruyter, 9783110317275
    Weitere Ausg.: ISBN 9783110281804
    Sprache: Englisch
    Fachgebiete: Mathematik
    RVK:
    SK 820
    DOI: 10.1515/9783110282009
    URL: https://doi.org/10.1515/9783110282009
    URL: https://www.degruyter.com/isbn/9783110282009
    URL: Cover
    URL: Volltext
    URL: Volltext  (lizenzpflichtig)
    URL: lizenzpflichtig
    URL: Cover
    URL: Inhaltstext
    URL: Cover
    Bibliothek Standort Signatur Band/Heft/Jahr Verfügbarkeit
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    Online-Ressource
    Online Zugang
    Open Access Wunsch
    HU Berlin
    UB Potsdam
  • 3
    Online-Ressource
    Online-Ressource
    Stochastic calculus of variations for jump processes (2013)
    Berlin [u.a.] : de Gruyter
    Details
    UID:
    b3kat_BV042348594
    Umfang: 1 Online-Ressource (PDF-Version: VIII, 266 S.)
    ISBN: 9783110281804 , 9783110282009 , 9783110282009 , 9783110282016
    Serie: De Gruyter studies in mathematics 54
    Anmerkung: Description based upon print version of record , Biographical note: Yasushi Ishikawa, Ehime University, Matsuyama, Japan , Main description: This monograph is a concise introduction to the stochastic calculus of variations (also known as Malliavin calculus) for processes with jumps. It is written for researchers and graduate students who are interested in Malliavin calculus for jump processes. In this book processes "with jumps" includes both pure jump processes and jump-diffusions. The author provides many results on this topic in a self-contained way; this also applies to stochastic differential equations (SDEs) "with jumps". The book also contains some applications of the stochastic calculus for processes with jumps to the control theory and mathematical finance. Up to now, these topics were rarely discussed in a monograph
    Weitere Ausg.: Erscheint auch als Druck-Ausgabe ISBN 978-3-11-028180-4
    Sprache: Englisch
    Fachgebiete: Mathematik
    RVK:
    SK 820
    Schlagwort(e): Sprungprozess ; Malliavin-Kalkül
    DOI: 10.1515/9783110282009
    URL: Volltext  (URL des Erstveröffentlichers)
    URL: Volltext
    URL: Volltext
    Mehr zum Autor: Ishikawa, Yasushi 1959-
    Bibliothek Standort Signatur Band/Heft/Jahr Verfügbarkeit
    BibTip Andere fanden auch interessant ...
    Online-Ressource
    Online Zugang
    Open Access Wunsch
    TU Berlin
  • 4
    Online-Ressource
    Online-Ressource
    Stochastic Calculus of Variations for Jump Processes / (2013)
    Berlin/Boston :De Gruyter,
    Details
    UID:
    edocfu_9958354072102883
    Umfang: 1 online resource(viii,266p.) : , illustrations.
    Ausgabe: Electronic reproduction. Berlin/Boston : De Gruyter. Mode of access: World Wide Web.
    Ausgabe: System requirements: Web browser.
    Ausgabe: Access may be restricted to users at subscribing institutions.
    ISBN: 9783110282009
    Serie: De Gruyter Studies in Mathematics; 54
    Inhalt: This monograph is a concise introduction to the stochastic calculus of variations (also known as Malliavin calculus) for processes with jumps. It is written for researchers and graduate students who are interested in Malliavin calculus for jump processes. In this book processes "with jumps" includes both pure jump processes and jump-diffusions. The author provides many results on this topic in a self-contained way; this also applies to stochastic differential equations (SDEs) "with jumps". The book also contains some applications of the stochastic calculus for processes with jumps to the control theory and mathematical finance. Up to now, these topics were rarely discussed in a monograph.
    Anmerkung: Frontmatter -- , Preface -- , Contents -- , 0. Introduction -- , 1. Lévy processes and Itô calculus -- , 2. Perturbations and properties of the probability law -- , 3. Analysis of Wiener–Poisson functionals -- , 4. Applications -- , Appendix -- , Bibliography -- , List of symbols -- , Index. , Also available in print edition. , In English.
    Weitere Ausg.: ISBN 9783110281804
    Weitere Ausg.: ISBN 9783110282016
    Sprache: Englisch
    DOI: 10.1515/9783110282009
    URL: https://doi.org/10.1515/9783110282009
    Bibliothek Standort Signatur Band/Heft/Jahr Verfügbarkeit
    BibTip Andere fanden auch interessant ...
    Online-Ressource
    Open Access Wunsch
    FU Berlin
  • 5
    Online-Ressource
    Online-Ressource
    Stochastic Calculus of Variations for Jump Processes (2013)
    Details
    UID:
    almahu_9947359998502882
    Umfang: Online-Ressource (VIII, 266 S.)
    ISBN: 9783110281804 (print)
    Serie: De Gruyter Studies in Mathematics 54
    Inhalt: Biographical note: Yasushi Ishikawa, Ehime University, Matsuyama, Japan.
    Inhalt: Main description: This monograph is a concise introduction to the stochastic calculus of variations (also known as Malliavin calculus) for processes with jumps. It is written for researchers and graduate students who are interested in Malliavin calculus for jump processes. In this book processes "with jumps" includes both pure jump processes and jump-diffusions. The author provides many results on this topic in a self-contained way; this also applies to stochastic differential equations (SDEs) "with jumps". The book also contains some applications of the stochastic calculus for processes with jumps to the control theory and mathematical finance. Up to now, these topics were rarely discussed in a monograph.
    Anmerkung: Description based upon print version of record , 2.1.3 Some previous methods2.2 Methods of finding the asymptotic bounds (I); 2.2.1 Markov chain approximation; 2.2.2 Proof of Theorem 2.3; 2.2.3 Proof of lemmas; 2.3 Methods of finding the asymptotic bounds (II); 2.3.1 Polygonal geometry; 2.3.2 Proof of Theorem 2.4; 2.3.3 Example of Theorem 2.4 - easy cases; 2.4 Summary of short time asymptotic bounds; 2.4.1 Case that µ(dz) is absolutely continuous with respect to the m-dimensional Lebesgue measure dz; 2.4.2 Case that µ(dz) is singular with respect to dz; 2.5 Auxiliary topics; 2.5.1 Marcus'canonical processes. , 2.5.2 Absolute continuity of the infinitely divisible laws2.5.3 Chain movement approximation; 2.5.4 Support theorem for canonical processes; 3 Analysis of Wiener-Poisson functionals; 3.1 Calculus of functionals on the Wiener space; 3.1.1 Definition of the Malliavin-Shigekawa derivative Dt; 3.1.2 Adjoint operator δ = D*; 3.2 Calculus of functionals on the Poisson space; 3.2.1 One-dimensional case; 3.2.2 Multidimensional case; 3.2.3 Characterisation of the Poisson space; 3.3 Sobolev space for functionals over the Wiener-Poisson space; 3.3.1 The Wiener space; 3.3.2 The Poisson Space. , 3.3.3 The Wiener-Poisson space3.4 Relation with the Malliavin operator; 3.5 Composition on the Wiener-Poisson space (I) - general theory; 3.5.1 Composition with an element in S'; 3.5.2 Sufficient condition for the composition; 3.6 Smoothness of the density for Itô processes; 3.6.1 Preliminaries; 3.6.2 Big perturbations; 3.6.3 Concatenation (I); 3.6.4 Concatenation (II) - the case that (D) may fail; 3.7 Composition on the Wiener-Poisson space (II) - Itô processes; 4 Applications; 4.1 Asymptotic expansion of the SDE; 4.1.1 Analysis on the stochastic model. , 4.1.2 Asymptotic expansion of the density4.1.3 Examples of asymptotic expansions; 4.2 Optimal consumption problem; 4.2.1 Setting of the optimal consumption; 4.2.2 Viscosity solutions; 4.2.3 Regularity of solutions; 4.2.4 Optimal consumption; 4.2.5 Historical sketch; Appendix; Bibliography; List of symbols; Index. , Preface; 0 Introduction; 1 Lévy processes and Itô calculus; 1.1 Poisson random measure and Lévy processes; 1.1.1 Lévy processes; 1.1.2 Examples of Lévy processes; 1.1.3 Stochastic integral for a finite variation process; 1.2 Basic materials to SDEs with jumps; 1.2.1 Martingales and semimartingales; 1.2.2 Stochastic integral with respect to semimartingales; 1.2.3 Doléans' exponential and Girsanov transformation; 1.3 Itô processes with jumps; 2 Perturbations and properties of the probability law; 2.1 Integration-by-parts on Poisson space; 2.1.1 Bismut's method; 2.1.2 Picard's method.
    Weitere Ausg.: ISBN 9783110282009
    Weitere Ausg.: ISBN 9783110282016
    Sprache: Englisch
    Schlagwort(e): Electronic books
    DOI: 10.1515/9783110282009
    URL: http://dx.doi.org/10.1515/9783110282009
    URL: http://www.degruyter.com/search?f_0=isbnissn&q_0=9783110282009&searchTitles=true
    Bibliothek Standort Signatur Band/Heft/Jahr Verfügbarkeit
    BibTip Andere fanden auch interessant ...
    Online-Ressource
    Open Access Wunsch
    HU Berlin
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