Stochastic Calculus of Variations: For Jump Processes

by Yasushi Ishikawa

Overview

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.

Product Details

ISBN-13:	9783110675283
Publisher:	De Gruyter
Publication date:	07/24/2023
Series:	De Gruyter Studies in Mathematics , #54
Edition description:	3rd ed.
Pages:	376
Product dimensions:	6.69(w) x 9.45(h) x (d)
Age Range:	18 Years

About the Author

Yasushi Ishikawa, Ehime University, Japan.

Editorial Reviews

From reviews of the first edition:

"This book is a good introduction to the Malliavin type calculus for processes with jumps, a topic about which there aren't many books yet. It covers most of the recent advances in the topic [...] Reading this book is worth it for people interested in Lévy processes and jump-diffusion processes in general. [...]"
Josep Vives, Mathematical Reviews

"[...] The text is well written and most of the results are given with proofs, or respective references. It is certainly a valuable contribution to the literature on the stochastic calculus of variations and it will be a helpful source for everybody interested in Malliavin calculus in a jump process setting."
Hilmar Mai, Zentralblatt für Mathematik

From the Publisher