Stochastic Calculus of Variations
For Jump Processes
3rd Edition
Published on 24. July 2023
XIV, 362 pages
978-3-11-067529-0 (ISBN)
Description
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.
More details
Series
Edition
3rd ed.
Language
English
Place of publication
Berlin/Boston
Germany
Target group
Professional and scholarly
US School Grade: College Graduate Student
Edition type
Revised edition
Illustrations
7 ill.
File size
5,83 MB
ISBN-13
978-3-11-067529-0 (9783110675290)
Schweitzer Classification
Other editions
Additional editions
E-Book
07/2023
3rd Edition
De Gruyter
€210.00
Available for download
Book
07/2023
3rd Edition
De Gruyter
€210.00
Shipment within 5-7 days
Previous edition
E-Book
03/2016
2nd Edition
De Gruyter
€169.95
Available for download
Person
Yasushi Ishikawa , Ehime University, Japan.
Content
- Intro
- Preface to the first edition
- Preface to the second edition
- Preface to the third edition
- 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
- A Appendix
- Bibliography
- List of symbols
- Index
