UID:
almahu_9949462261802882
Format:
1 online resource (266 p.)
ISBN:
9783110282009
,
9783110494938
Series Statement:
De Gruyter Studies in Mathematics , 54
Content:
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.
Note:
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
Additional Edition:
ISBN 9783110281804
Language:
English
Subjects:
Mathematics
DOI:
10.1515/9783110282009
URL:
https://doi.org/10.1515/9783110282009
URL:
https://www.degruyter.com/isbn/9783110282009
URL:
Volltext
(lizenzpflichtig)
