Lévy过程的Malliavin分析及其在金融学中的应用

图书标准信息

• 作者 [挪]纳努（Nunno G.D.） 著
• 出版社 世界图书出版公司
• 出版时间 2013-03
• 版次 1
• ISBN 9787510058325
• 定价 69.00元
• 装帧 平装
• 开本 24开
• 纸张 胶版纸
• 页数 417页
• 正文语种 英语

【内容简介】

　　TherearealreadyseveralexcellentbooksonMalliavincalculus.However，mostofthemdealonlywiththetheoryofMalliavincalculusforBrownianmotion，withasanhonorableexception.Moreover，mostofthemdiscussonlytheapplicationtoregularityresultsforsolutionsofSDEs，asthiswastheoriginalmotivationwhenPaulMalliavinintroducedtheinfinite-dimensionalcalculusin1978in.Intherecentyears，Malliavincalculushasfoundmanyapplicationsinstochasticcontrolandwithinfinance.Atthesametime，Levyprocesseshavebecomeimportantinfinancialmodeling.Inviewofthis，wehaveseentheneedforabookthatdealswithMalliavincalculusforLevyprocessesingeneral，notjustBrownianmotion，andthatpresentssomeofthemostimportantandrecentapplicationstofinance.

【目录】

Introduction
PartITheContinuousCase:BrownianMotion
1TheWiener-ItoChaosExpansion
1.1IteratedItoIntegrals
1.2TheWiener-ItoChaosExpansion
1.3Exercises
2TheSkorohodIntegral
2.1TheSkorohodIntegral
2.2SomeBasicPropertiesoftheSkorohodIntegral
2.3TheSkorohodIntegralasanExtensionoftheItoIntegral
2.4Exercises
3MalliavinDerivativeviaChaosExpansion
3.1TheMalliavinDerivative
3.2ComputationandPropertiesoftheMalliavinDerivative
3.2.1ChainRulesforMalliavinDerrvative
3.2.2MalliavinDerivativeandConditionalExpectation
3.3MalliavinDerivativeandSkorohodIntegral
3.3.1SkorohodIntegralasAdjointOperatortotheMalliavinDerivative
3.3.2AnIritegrationbyPartsFormulaandClosabilityoftheSkorohodIntegral
3.3.3AFundamentalTheoremofCalculus
3.4Exercises
4IntegralRepresentationsandtheClark-OconeFormula
4.1TheClark-OconeFormula
4.2TheClark-OconeFormulaunderChangeofMeasure
……

PartIITheDiscontinuousCase:PureJu~pLvProcesses