Stochastic Calculus of Variations for Jump Processes / / Yasushi Ishikawa.
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"...
Saved in:
Superior document: | Title is part of eBook package: De Gruyter DG Studies in Mathematics eBook-Package |
---|---|
VerfasserIn: | |
Place / Publishing House: | Berlin ;, Boston : : De Gruyter, , [2013] ©2013 |
Year of Publication: | 2013 |
Language: | English |
Series: | De Gruyter Studies in Mathematics ,
54 |
Online Access: | |
Physical Description: | 1 online resource (266 p.) |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
LEADER | 05374nam a22009495i 4500 | ||
---|---|---|---|
001 | 9783110282009 | ||
003 | DE-B1597 | ||
005 | 20230228123812.0 | ||
006 | m|||||o||d|||||||| | ||
007 | cr || |||||||| | ||
008 | 230228t20132013gw fo d z eng d | ||
019 | |a (OCoLC)853268942 | ||
020 | |a 9783110282009 | ||
024 | 7 | |a 10.1515/9783110282009 |2 doi | |
035 | |a (DE-B1597)175792 | ||
035 | |a (OCoLC)851970519 | ||
040 | |a DE-B1597 |b eng |c DE-B1597 |e rda | ||
041 | 0 | |a eng | |
044 | |a gw |c DE | ||
050 | 4 | |a QA274.2 |b .I84 2013 | |
072 | 7 | |a MAT029000 |2 bisacsh | |
082 | 0 | 4 | |a 519.2/2 |2 23 |
084 | |a SK 820 |2 rvk |0 (DE-625)rvk/143258: | ||
100 | 1 | |a Ishikawa, Yasushi, |e author. |4 aut |4 http://id.loc.gov/vocabulary/relators/aut | |
245 | 1 | 0 | |a Stochastic Calculus of Variations for Jump Processes / |c Yasushi Ishikawa. |
264 | 1 | |a Berlin ; |a Boston : |b De Gruyter, |c [2013] | |
264 | 4 | |c ©2013 | |
300 | |a 1 online resource (266 p.) | ||
336 | |a text |b txt |2 rdacontent | ||
337 | |a computer |b c |2 rdamedia | ||
338 | |a online resource |b cr |2 rdacarrier | ||
347 | |a text file |b PDF |2 rda | ||
490 | 0 | |a De Gruyter Studies in Mathematics , |x 0179-0986 ; |v 54 | |
505 | 0 | 0 | |t Frontmatter -- |t Preface -- |t Contents -- |t 0. Introduction -- |t 1. Lévy processes and Itô calculus -- |t 2. Perturbations and properties of the probability law -- |t 3. Analysis of Wiener–Poisson functionals -- |t 4. Applications -- |t Appendix -- |t Bibliography -- |t List of symbols -- |t Index |
506 | 0 | |a restricted access |u http://purl.org/coar/access_right/c_16ec |f online access with authorization |2 star | |
520 | |a 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. | ||
530 | |a Issued also in print. | ||
538 | |a Mode of access: Internet via World Wide Web. | ||
546 | |a In English. | ||
588 | 0 | |a Description based on online resource; title from PDF title page (publisher's Web site, viewed 28. Feb 2023) | |
650 | 0 | |a Calculus of variations. | |
650 | 0 | |a Jump processes. | |
650 | 0 | |a Malliavin calculus. | |
650 | 4 | |a Jump process. | |
650 | 4 | |a Lévy process. | |
650 | 4 | |a Poisson space. | |
650 | 4 | |a S.D.E. | |
650 | 4 | |a Stochastic calculus. | |
650 | 4 | |a Wiener-Poisson functional. | |
650 | 7 | |a MATHEMATICS / Probability & Statistics / General. |2 bisacsh | |
773 | 0 | 8 | |i Title is part of eBook package: |d De Gruyter |t DG Studies in Mathematics eBook-Package |z 9783110494938 |o ZDB-23-GSM |
773 | 0 | 8 | |i Title is part of eBook package: |d De Gruyter |t DGBA Backlist Complete English Language 2000-2014 PART1 |z 9783110238570 |
773 | 0 | 8 | |i Title is part of eBook package: |d De Gruyter |t DGBA Backlist Mathematics 2000-2014 (EN) |z 9783110238471 |
773 | 0 | 8 | |i Title is part of eBook package: |d De Gruyter |t DGBA Mathematics - 2000 - 2014 |z 9783110637205 |o ZDB-23-GMA |
773 | 0 | 8 | |i Title is part of eBook package: |d De Gruyter |t E-BOOK GESAMTPAKET / COMPLETE PACKAGE 2013 |z 9783110317350 |o ZDB-23-DGG |
773 | 0 | 8 | |i Title is part of eBook package: |d De Gruyter |t E-BOOK PACKAGE MATHEMATICS, PHYSICS, ENGINEERING 2013 |z 9783110317282 |o ZDB-23-DMI |
773 | 0 | 8 | |i Title is part of eBook package: |d De Gruyter |t E-BOOK PAKET MATHEMATIK, PHYSIK, INGENIEURWISS. 2013 |z 9783110317275 |o ZDB-23-DMP |
776 | 0 | |c print |z 9783110281804 | |
856 | 4 | 0 | |u https://doi.org/10.1515/9783110282009 |
856 | 4 | 0 | |u https://www.degruyter.com/isbn/9783110282009 |
856 | 4 | 2 | |3 Cover |u https://www.degruyter.com/document/cover/isbn/9783110282009/original |
912 | |a 978-3-11-023847-1 DGBA Backlist Mathematics 2000-2014 (EN) |c 2000 |d 2014 | ||
912 | |a 978-3-11-023857-0 DGBA Backlist Complete English Language 2000-2014 PART1 |c 2000 |d 2014 | ||
912 | |a EBA_BACKALL | ||
912 | |a EBA_CL_MTPY | ||
912 | |a EBA_DGALL | ||
912 | |a EBA_EBACKALL | ||
912 | |a EBA_EBKALL | ||
912 | |a EBA_ECL_MTPY | ||
912 | |a EBA_EEBKALL | ||
912 | |a EBA_ESTMALL | ||
912 | |a EBA_STMALL | ||
912 | |a GBV-deGruyter-alles | ||
912 | |a PDA12STME | ||
912 | |a PDA13ENGE | ||
912 | |a PDA18STMEE | ||
912 | |a PDA5EBK | ||
912 | |a ZDB-23-DGG |b 2013 | ||
912 | |a ZDB-23-DMI |b 2013 | ||
912 | |a ZDB-23-DMP |b 2013 | ||
912 | |a ZDB-23-GMA |c 2000 |d 2014 | ||
912 | |a ZDB-23-GSM |