Stochastic Calculus of Variations: For Jump Processes

Stochastic Calculus of Variations: For Jump Processes

Primary subject categories: • Continuous-time Markov processes on general state spaces • Transition functions, generators and resolvents • Processes with independent increments; Lévy processes • Probability theory and stochastic 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.

• Focuses on Malliavin calculus for jump processes.
• Includes many applications to control theory and mathematical finance.
• New in this edition: extensive updates and one novel application.