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191222 r ||| eng |
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|a 9783110282009
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4 |
|a QA274.2
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| 100 |
1 |
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|a Ishikawa, Yasushi
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| 245 |
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|a Stochastic Calculus of Variations for Jump Processes
|h Elektronische Ressource
|c Yasushi Ishikawa
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| 260 |
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|a Berlin
|b De Gruyter
|c 2013, [2013]©2013
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| 300 |
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|a 274 p.
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| 653 |
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|a Malliavin calculus
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| 653 |
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|a Poisson space
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| 653 |
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|a Wiener-Poisson functional
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| 653 |
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|a Calculus of variations
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| 653 |
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|a Jump process
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| 653 |
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|a S.D.E.
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| 653 |
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|a Stochastic calculus
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| 653 |
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|a Jump processes
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| 653 |
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|a Lévy process
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| 653 |
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|a MATHEMATICS / Probability & Statistics / General / bisacsh
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| 041 |
0 |
7 |
|a eng
|2 ISO 639-2
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| 989 |
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|b GRUYMPG
|a DeGruyter MPG Collection
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| 490 |
0 |
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|a De Gruyter Studies in Mathematics
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| 500 |
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|a Mode of access: Internet via World Wide Web
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| 028 |
5 |
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|a 10.1515/9783110282009
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| 773 |
0 |
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|t DGBA Backlist Mathematics English Language 2000-2014
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| 773 |
0 |
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|t DG Studies in Mathematics Backlist eBook Package
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| 773 |
0 |
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|t DGBA Backlist Complete English Language 2000-2014 PART1
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| 773 |
0 |
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|t E-BOOK PAKET MATHEMATIK, PHYSIK, INGENIEURWISS. 2013
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| 773 |
0 |
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|t DGBA Mathematics 2000 - 2014
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| 773 |
0 |
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|t E-BOOK GESAMTPAKET / COMPLETE PACKAGE 2013
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| 773 |
0 |
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|t E-BOOK PACKAGE MATHEMATICS, PHYSICS, ENGINEERING 2013
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| 856 |
4 |
0 |
|u https://www.degruyter.com/doi/book/10.1515/9783110282009?nosfx=y
|x Verlag
|3 Volltext
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| 082 |
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|a 519.2/2
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| 520 |
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|a This monograph is a concise introduction to the stochastic calculus of variations (also known as Malliavin calculus) for processes with jumps. It is written for researchers and graduate students who are interested in Malliavin calculus for jump processes. In this book processes "with jumps" includes both pure jump processes and jump-diffusions. The author provides many results on this topic in a self-contained way; this also applies to stochastic differential equations (SDEs) "with jumps". The book also contains some applications of the stochastic calculus for processes with jumps to the control theory and mathematical finance. Namely, asymptotic expansions functionals related with financial assets of jump-diffusion are provided based on the theory of asymptotic expansion on the Wiener-Poisson space. Solving the Hamilton-Jacobi-Bellman (HJB) equation of integro-differential type is related with solving the classical Merton problem and the Ramsey theory. The field of jump processes is nowadays quite wide-ranging, from the Lévy processes to SDEs with jumps. Recent developments in stochastic analysis have enabled us to express various results in a compact form. Up to now, these topics were rarely discussed in a monograph
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