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Noncausal Stochastic Calculus

  • Shigeyoshi Ogawa

Table of contents

  1. Front Matter
    Pages i-xii
  2. Shigeyoshi Ogawa
    Pages 1-10
  3. Shigeyoshi Ogawa
    Pages 11-50
  4. Shigeyoshi Ogawa
    Pages 51-81
  5. Shigeyoshi Ogawa
    Pages 83-89
  6. Shigeyoshi Ogawa
    Pages 91-107
  7. Shigeyoshi Ogawa
    Pages 109-125
  8. Shigeyoshi Ogawa
    Pages 127-137
  9. Shigeyoshi Ogawa
    Pages 139-170
  10. Shigeyoshi Ogawa
    Pages 171-180
  11. Shigeyoshi Ogawa
    Pages 181-201
  12. Back Matter
    Pages 203-210

About this book

Introduction

This book presents an elementary introduction to the theory of noncausal stochastic calculus that arises as a natural alternative to the standard theory of stochastic calculus founded in 1944 by Professor Kiyoshi Itô. As is generally known, Itô Calculus is essentially based on the "hypothesis of causality", asking random functions to be adapted to a natural filtration generated by Brownian motion or more generally by square integrable martingale.

The intention in this book is to establish a stochastic calculus that is free from this "hypothesis of causality". To be more precise, a noncausal theory of stochastic calculus is developed in this book, based on the noncausal integral introduced by the author in 1979.

After studying basic properties of the noncausal stochastic integral, various concrete problems of noncausal nature are considered, mostly concerning stochastic functional equations such as SDE, SIE, SPDE, and others, to show not only the necessity of such theory of noncausal stochastic calculus but also its growing possibility as a tool for modeling and analysis in every domain of mathematical sciences. The reader may find there many open problems as well.

Keywords

Noncausal Stochastic Calculus random variable stochastic derivative principle of causality

Authors and affiliations

  • Shigeyoshi Ogawa
    • 1
  1. 1.Department of Mathematical SciencesRitsumeikan UniversityKusatsuJapan

Bibliographic information

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