Stochastic Calculus of Variations: For Jump Processes

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.

Author: Yasushi Ishikawa
Publisher: de Gruyter
Published: 07/24/2023
Pages: 376
Binding Type: Hardcover
Weight: 1.76lbs
Size: 9.61h x 6.69w x 0.88d
ISBN: 9783110675283

About the Author

Yasushi Ishikawa, Ehime University, Japan.