Stochastic calculus of variations for jump processes (Q5891096)

This monograph deals with Malliavin calculus for jump processes. The main topics of the book range from basic material on Lévy processes, stochastic calculus in a semimartingale setting and SDEs driven by Lévy processes over Malliavin calculus on Poisson space to several applications. The variational calculus is developed by the method of perturbations of trajectories on the Wiener-Poisson space in the spirit of potential theory and nonlocal integro-differential operators. The chapter on applications includes some results on asymptotic expansions for SDEs followed by an optimal consumption problem from mathematical finance. The text is well written and most of the results are given with proofs, or respective references. It is certainly a valuable contribution to the literature on the stochastic calculus of variations and it will be a helpful source for everybody interested in Malliavin calculus in a jump process setting.