Stochastic calculus via regularizations
Auteur :
Russo, Francesco / Vallois, Pierre
Éditeur :
Springer International Publishing AG
ISBN :
9783031094453
Date de publication :
16 nov. 2022
Dimensions :
23,5 x 15,5 cm
Langue :
Anglais
Pays d'origine :
Suisse
The book constitutes an introduction to stochastic calculus, stochastic differential equations and related topics such as Malliavin calculus. Stochastic calculus via regularization has been successfully used in applications, for instance in robust finance and on modeling vortex filaments in turbulence.