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
