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Stochastic Calculus of Variations: For Jump Processes
Hardcover
Series: de Gruyter Studies in Mathematics, Book 54
General MathematicsProbability & Statistics
ISBN13: 9783110675283
Publisher: De Gruyter
Published: Jul 24 2023
Pages: 376
Weight: 1.76
Height: 0.88 Width: 6.69 Depth: 9.61
Language: English
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.
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