Introduction to Stochastic Analysis and Malliavin Calculus - Couverture rigide

Couverture rigide

ISBN 10 : 1681171902 ISBN 13 : 9781681171906

Editeur : Scitus Academics LLC, 2016

Synopsis

Stochastic calus is a branch of mathematics that operates on stochastic processes. It allows a consistent theory of integration to be defined for integrals of stochastic processes with respect to stochastic processes. It is used to model systems that behave randomly. The best-known stochastic process to which stochastic calus is applied is the Wiener process, the Wiener process has been widely applied in financial mathematics and economics to model the evolution in time of stock prices and bond interest rates. The Malliavin calus extends the calus of variations from functions to stochastic processes. The Malliavin calus is also called the stochastic calus of variations. In partiar, it allows the computation of derivatives of random variables. Malliavin's ideas led to a proof that Hormander's condition implies the existence and smoothness of a density for the solution of a stochastic differential equation; Hormander's original proof was based on the theory of partial differential equations. The calus has been applied to stochastic partial differential equations as well. The calus allows integration by parts with random variables; this operation is used in mathematical finance to compute the sensitivities of financial derivatives. The calus has applications in, for example, stochastic filtering. This book emphasizes on differential stochastic equations and Malliavin calus.

Détails de l'édition

• Éditeur: Scitus Academics LLC
• Date d'édition: 2016
• Langue: anglais
• ISBN 10: 1681171902
• ISBN 13: 9781681171906
• Reliure: Relié
• Nombre de pages: 228
• Éditeur: Rathod Jai
• Coordonnées du fabricant: non disponible
• Personne responsable: non disponible