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"...
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Place / Publishing House: | Berlin ;, Boston : : De Gruyter, , [2013] ©2013 |
Year of Publication: | 2013 |
Language: | English |
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Ishikawa, Yasushi, author. aut http://id.loc.gov/vocabulary/relators/aut Stochastic Calculus of Variations for Jump Processes / Yasushi Ishikawa. Berlin ; Boston : De Gruyter, [2013] ©2013 1 online resource (266 p.) text txt rdacontent computer c rdamedia online resource cr rdacarrier text file PDF rda De Gruyter Studies in Mathematics , 0179-0986 ; 54 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 restricted access http://purl.org/coar/access_right/c_16ec online access with authorization star 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. Issued also in print. Mode of access: Internet via World Wide Web. In English. Description based on online resource; title from PDF title page (publisher's Web site, viewed 28. Feb 2023) Calculus of variations. Jump processes. Malliavin calculus. Jump process. Lévy process. Poisson space. S.D.E. Stochastic calculus. Wiener-Poisson functional. MATHEMATICS / Probability & Statistics / General. bisacsh Title is part of eBook package: De Gruyter DG Studies in Mathematics eBook-Package 9783110494938 ZDB-23-GSM Title is part of eBook package: De Gruyter DGBA Backlist Complete English Language 2000-2014 PART1 9783110238570 Title is part of eBook package: De Gruyter DGBA Backlist Mathematics 2000-2014 (EN) 9783110238471 Title is part of eBook package: De Gruyter DGBA Mathematics - 2000 - 2014 9783110637205 ZDB-23-GMA Title is part of eBook package: De Gruyter E-BOOK GESAMTPAKET / COMPLETE PACKAGE 2013 9783110317350 ZDB-23-DGG Title is part of eBook package: De Gruyter E-BOOK PACKAGE MATHEMATICS, PHYSICS, ENGINEERING 2013 9783110317282 ZDB-23-DMI Title is part of eBook package: De Gruyter E-BOOK PAKET MATHEMATIK, PHYSIK, INGENIEURWISS. 2013 9783110317275 ZDB-23-DMP print 9783110281804 https://doi.org/10.1515/9783110282009 https://www.degruyter.com/isbn/9783110282009 Cover https://www.degruyter.com/document/cover/isbn/9783110282009/original |
language |
English |
format |
eBook |
author |
Ishikawa, Yasushi, Ishikawa, Yasushi, |
spellingShingle |
Ishikawa, Yasushi, Ishikawa, Yasushi, Stochastic Calculus of Variations for Jump Processes / De Gruyter Studies in Mathematics , 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 |
author_facet |
Ishikawa, Yasushi, Ishikawa, Yasushi, |
author_variant |
y i yi y i yi |
author_role |
VerfasserIn VerfasserIn |
author_sort |
Ishikawa, Yasushi, |
title |
Stochastic Calculus of Variations for Jump Processes / |
title_full |
Stochastic Calculus of Variations for Jump Processes / Yasushi Ishikawa. |
title_fullStr |
Stochastic Calculus of Variations for Jump Processes / Yasushi Ishikawa. |
title_full_unstemmed |
Stochastic Calculus of Variations for Jump Processes / Yasushi Ishikawa. |
title_auth |
Stochastic Calculus of Variations for Jump Processes / |
title_alt |
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 |
title_new |
Stochastic Calculus of Variations for Jump Processes / |
title_sort |
stochastic calculus of variations for jump processes / |
series |
De Gruyter Studies in Mathematics , |
series2 |
De Gruyter Studies in Mathematics , |
publisher |
De Gruyter, |
publishDate |
2013 |
physical |
1 online resource (266 p.) Issued also in print. |
contents |
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 |
isbn |
9783110282009 9783110494938 9783110238570 9783110238471 9783110637205 9783110317350 9783110317282 9783110317275 9783110281804 |
issn |
0179-0986 ; |
callnumber-first |
Q - Science |
callnumber-subject |
QA - Mathematics |
callnumber-label |
QA274 |
callnumber-sort |
QA 3274.2 I84 42013 |
url |
https://doi.org/10.1515/9783110282009 https://www.degruyter.com/isbn/9783110282009 https://www.degruyter.com/document/cover/isbn/9783110282009/original |
illustrated |
Not Illustrated |
dewey-hundreds |
500 - Science |
dewey-tens |
510 - Mathematics |
dewey-ones |
519 - Probabilities & applied mathematics |
dewey-full |
519.2/2 |
dewey-sort |
3519.2 12 |
dewey-raw |
519.2/2 |
dewey-search |
519.2/2 |
doi_str_mv |
10.1515/9783110282009 |
oclc_num |
851970519 |
work_keys_str_mv |
AT ishikawayasushi stochasticcalculusofvariationsforjumpprocesses |
status_str |
n |
ids_txt_mv |
(DE-B1597)175792 (OCoLC)851970519 |
carrierType_str_mv |
cr |
hierarchy_parent_title |
Title is part of eBook package: De Gruyter DG Studies in Mathematics eBook-Package Title is part of eBook package: De Gruyter DGBA Backlist Complete English Language 2000-2014 PART1 Title is part of eBook package: De Gruyter DGBA Backlist Mathematics 2000-2014 (EN) Title is part of eBook package: De Gruyter DGBA Mathematics - 2000 - 2014 Title is part of eBook package: De Gruyter E-BOOK GESAMTPAKET / COMPLETE PACKAGE 2013 Title is part of eBook package: De Gruyter E-BOOK PACKAGE MATHEMATICS, PHYSICS, ENGINEERING 2013 Title is part of eBook package: De Gruyter E-BOOK PAKET MATHEMATIK, PHYSIK, INGENIEURWISS. 2013 |
is_hierarchy_title |
Stochastic Calculus of Variations for Jump Processes / |
container_title |
Title is part of eBook package: De Gruyter DG Studies in Mathematics eBook-Package |
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1770177501419536384 |
fullrecord |
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