Book contents
- Frontmatter
- Contents
- Preface
- Frequently Used Notation
- 1 Fundamentals of Continuous Stochastic Processes
- 2 Stochastic Integrals and Itô's Formula
- 3 Brownian Motion and the Laplacian
- 4 Stochastic Differential Equations
- 5 Malliavin Calculus
- 6 The Black-Scholes Model
- 7 The Semiclassical Limit
- Appendix Some Fundamentals
- References
- Index
2 - Stochastic Integrals and Itô's Formula
Published online by Cambridge University Press: 17 November 2016
- Frontmatter
- Contents
- Preface
- Frequently Used Notation
- 1 Fundamentals of Continuous Stochastic Processes
- 2 Stochastic Integrals and Itô's Formula
- 3 Brownian Motion and the Laplacian
- 4 Stochastic Differential Equations
- 5 Malliavin Calculus
- 6 The Black-Scholes Model
- 7 The Semiclassical Limit
- Appendix Some Fundamentals
- References
- Index
Summary
- Type
- Chapter
- Information
- Stochastic AnalysisItô and Malliavin Calculus in Tandem, pp. 52 - 101Publisher: Cambridge University PressPrint publication year: 2016