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
Appendix - Some Fundamentals
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
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- Type
- Chapter
- Information
- Stochastic AnalysisItô and Malliavin Calculus in Tandem, pp. 329 - 336Publisher: Cambridge University PressPrint publication year: 2016