Stochastic Calculus of Variations for Jump Processes (Electronic book text)


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.

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Product Description

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.

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Product Details

General

Imprint

Walter De Gruyter Inc

Country of origin

United States

Series

de Gruyter Studies in Mathematics

Release date

2013

Availability

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Authors

Format

Electronic book text

Pages

276

ISBN-13

978-1-299-72173-9

Barcode

9781299721739

Categories

LSN

1-299-72173-7



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