Stochastic Analysis: Itô and Malliavin Calculus in Tandem

Hiroyuki Matsumoto · Setsuo Taniguchi

Nov 2016 · Cambridge Studies in Advanced Mathematics Book 159 · Cambridge University Press

Ebook

621

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About this ebook

Thanks to the driving forces of the Itô calculus and the Malliavin calculus, stochastic analysis has expanded into numerous fields including partial differential equations, physics, and mathematical finance. This book is a compact, graduate-level text that develops the two calculi in tandem, laying out a balanced toolbox for researchers and students in mathematics and mathematical finance. The book explores foundations and applications of the two calculi, including stochastic integrals and differential equations, and the distribution theory on Wiener space developed by the Japanese school of probability. Uniquely, the book then delves into the possibilities that arise by using the two flavors of calculus together. Taking a distinctive, path-space-oriented approach, this book crystallizes modern day stochastic analysis into a single volume.

About the author

Hiroyuki Matsumoto is Professor of Mathematics at Aoyama Gakuin University. He graduated from Kyoto University in 1982 and received his doctor of science degree from Osaka University in 1989. His research focuses on stochastic analysis and its applications to spectral analysis of Schrödinger operations and Selberg's trace formula, and he has published several books in Japanese, including Stochastic Calculus and Introduction to Probability and Statistics. He is a member of the Mathematical Society of Japan and an editor of the MSJ Memoirs.

Setsuo Taniguchi is Professor of Mathematics at Kyushu University. He graduated from Osaka University in 1980 and received his doctor of science degree from Osaka University in 1989. His research interests include stochastic differential equations and Malliavin calculus. He has published several books in Japanese, including Introduction to Stochastic Analysis for Mathematical Finance and Stochastic Calculus. He is a member of the Mathematical Society of Japan and is an editor of the Kyushu Journal of Mathematics.

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