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Stochastic calculus of variations for jump processes /
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"...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Berlin :
De Gruyter,
[2013]
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| Colección: | De Gruyter studies in mathematics.
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| Temas: | |
| Acceso en línea: | Texto completo |
| Sumario: | 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 c. |
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| Descripción Física: | 1 online resource (viii, 266 pages) |
| Bibliografía: | Includes bibliographical references (pages 253-261) and index. |
| ISBN: | 9783110282009 3110282003 9781299721739 1299721737 9783110282016 3110282011 |