Stochastic Calculus Via Regularizations

by Francesco Russo and Pierre Vallois

The book constitutes an introduction to stochastic calculus, stochastic differential equations and related topics such as Malliavin calculus. On the other hand it focuses on the techniques of stochastic integration and calculus via regularization initiated by the authors. The definitions relies on a smoothing procedure of the integrator process, they generalize the usual Itô and Stratonovich integrals for Brownian motion but the integrator could...

• Format: Hardcover
• Language: English
• ISBN: 303109445X
• ISBN13: 9783031094453
• Release Date: November 2022
• Publisher: Springer
• Length: 638 Pages
• Weight: 2.45 lbs.
• Dimensions: 1.4" x 6.1" x 9.2"