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Stochastic Analysis : Ito and Malliavin Calculus in Tandem. 松本裕行、谷口説男著 確率解析－伊藤・マリアヴァン解析
・ISBN 978-1-107-14051-6 2017 hard GB£ 63.00
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電子版あり 大学・学術機関向け電子ブック（eBook）ISBN 978-1-316-49288-8
| 著者・編者 | Matsumoto, Hiroyuki / Taniguchi, Setsuo, |
|---|---|
| シリーズ | Cambridge Studies in Advanced Mathematics |
| 出版社 | (Cambridge U. Pr., UK) |
| ページ数 | 357 pp. |
| 言語 | ENG |
| ニュース番号 | ＜633-P801 634-407＞ |
解説
Thanks to the driving forces of the Ito calculus and the Malliavin calculus, stochastic analysis has expanded into numerous fields including partial differential equations, physics, and mathematical finance. This book is a compact, graduate-level text that develops the two calculi in tandem, laying out a balanced toolbox for researchers and students in mathematics and mathematical finance. The book explores foundations and applications of the two calculi, including stochastic integrals and differential equations, and the distribution theory on Wiener space developed by the Japanese school of probability. Uniquely, the book then delves into the possibilities that arise by using the two flavors of calculus together. Taking a distinctive, path-space-oriented approach, this book crystallizes modern day stochastic analysis into a single volume.