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Stochastic calculus of variations : for jump processes / Yasushi Ishikawa.

By: Material type: TextTextSeries: De Gruyter studies in mathematics ; v 54.Publication details: Berlin ; Boston : Walter de Gruyter GmbH & Co.,KG, ©2016.Edition: 2nd edDescription: x, 278 pages ; 25 cmISBN:
  • 9783110377767
Subject(s): DDC classification:
  • 519.2 23 Is79
Contents:
0. Introduction -- 1. Levy processes and ito calculus -- 2. Perturbations and properties of the probability law -- 3. Analysis of Wiener-Poisson functionals -- 4. Applications -- Appendix.
Summary: An introduction to the stochastic calculus of variations for processes with jumps. Written for researchers and graduate students who are interested in Malliavin calculus for jump processes, it also contains some applications of the stochastic calculus for processes with jumps to the control theory and mathematical finance.
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Holdings
Item type Current library Call number Status Date due Barcode Item holds
Books ISI Library, Kolkata 519.2 Is79 (Browse shelf(Opens below)) Available 138026
Total holds: 0

Includes bibliographical references and index.

0. Introduction --
1. Levy processes and ito calculus --
2. Perturbations and properties of the probability law --
3. Analysis of Wiener-Poisson functionals --
4. Applications --
Appendix.

An introduction to the stochastic calculus of variations for processes with jumps. Written for researchers and graduate students who are interested in Malliavin calculus for jump processes, it also contains some applications of the stochastic calculus for processes with jumps to the control theory and mathematical finance.

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