Stochastic Analysis

Book Details

• Author: Hiroyuki Matsumoto

• Publisher: Cambridge University Press

• Edition: Translation Edition

• Binding: Hardcover

• Number of Pages: 357

• ISBN: 9781107140516

• Languages: English

• Dimensions: 9.1 x 6.1 x 0.9 inches

About The Book

"Stochastic Analysis: An Introduction" by Hiroyuki Matsumoto is a graduate-level text that introduces readers to the core concepts of stochastic analysis, focusing on the powerful tools of Itô calculus and Malliavin calculus. These two calculi have revolutionized fields such as partial differential equations, physics, and mathematical finance.

This book develops the Itô and Malliavin calculi in tandem, offering a balanced and comprehensive toolbox for students and researchers interested in mathematics and mathematical finance. It covers essential topics such as:

• Stochastic integrals and differential equations, providing a strong foundation for the reader to understand how these tools are applied in various contexts.

• Distribution theory on Wiener space, with a focus on the methods developed by the Japanese school of probability.

• The distinctive, path-space-oriented approach to modern stochastic analysis, which explores the potential arising from combining the two calculi.

By unifying both Itô calculus and Malliavin calculus, this book serves as a singular volume that consolidates modern stochastic analysis, making it an indispensable resource for advanced graduate students, researchers, and professionals in the fields of probability theory, stochastic processes, and mathematical finance.

With 357 pages of essential material, this book is ideal for those seeking a deeper understanding of stochastic analysis in theory and practice.