Stochastic Calculus of Variations
For Jump Processes
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Beschreibung
This book is a concise introduction to the stochastic calculus of variations for processes with jumps. The author provides many results on this topic in a self-contained way for e.g., stochastic differential equations (SDEs) with jumps. The book also contains some applications of the stochastic calculus for processes with jumps to the control theory, mathematical finance and so. This third and entirely revised edition of the work is updated to reflect the latest developments in the theory and some applications with graphics.
Autor*in
Yasushi Ishikawa
Themen in »Stochastic Calculus of Variations«
Stochastische partielle Differentialgleichung Malliavin-Kalkül Stochastische Analysis Stochastische Funktional-Differentialgleichung Malliavin calculus Stochastic calculus Stochastic functional differential equation Stochastic partial differential equation