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Stochastic Integration by Parts and Functional Itô Calculus
This volume contains lecture notes from the courses given by Vlad Bally and Rama Cont at the Barcelona Summer School on Stochastic Analysis (July 2012). The notes of the course by Vlad Bally, co-authored with Lucia Caramellino, develop integration by parts formulas in an abstract setting, extending...
| Clasificación: | Libro Electrónico |
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| Autores principales: | , , |
| Autor Corporativo: | |
| Otros Autores: | , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Cham :
Springer International Publishing : Imprint: Birkhäuser,
2016.
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| Edición: | 1st ed. 2016. |
| Colección: | Advanced Courses in Mathematics - CRM Barcelona,
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| Temas: | |
| Acceso en línea: | Texto Completo |
MARC
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| 005 | 20220115202810.0 | ||
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| 008 | 160311s2016 sz | s |||| 0|eng d | ||
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| 100 | 1 | |a Bally, Vlad. |e author. |4 aut |4 http://id.loc.gov/vocabulary/relators/aut | |
| 245 | 1 | 0 | |a Stochastic Integration by Parts and Functional Itô Calculus |h [electronic resource] / |c by Vlad Bally, Lucia Caramellino, Rama Cont ; edited by Frederic Utzet, Josep Vives. |
| 250 | |a 1st ed. 2016. | ||
| 264 | 1 | |a Cham : |b Springer International Publishing : |b Imprint: Birkhäuser, |c 2016. | |
| 300 | |a IX, 208 p. 1 illus. |b online resource. | ||
| 336 | |a text |b txt |2 rdacontent | ||
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| 490 | 1 | |a Advanced Courses in Mathematics - CRM Barcelona, |x 2297-0312 | |
| 520 | |a This volume contains lecture notes from the courses given by Vlad Bally and Rama Cont at the Barcelona Summer School on Stochastic Analysis (July 2012). The notes of the course by Vlad Bally, co-authored with Lucia Caramellino, develop integration by parts formulas in an abstract setting, extending Malliavin's work on abstract Wiener spaces. The results are applied to prove absolute continuity and regularity results of the density for a broad class of random processes. Rama Cont's notes provide an introduction to the Functional Itô Calculus, a non-anticipative functional calculus that extends the classical Itô calculus to path-dependent functionals of stochastic processes. This calculus leads to a new class of path-dependent partial differential equations, termed Functional Kolmogorov Equations, which arise in the study of martingales and forward-backward stochastic differential equations. This book will appeal to both young and senior researchers in probability and stochastic processes, as well as to practitioners in mathematical finance. | ||
| 650 | 0 | |a Probabilities. | |
| 650 | 0 | |a Differential equations. | |
| 650 | 1 | 4 | |a Probability Theory. |
| 650 | 2 | 4 | |a Differential Equations. |
| 700 | 1 | |a Caramellino, Lucia. |e author. |4 aut |4 http://id.loc.gov/vocabulary/relators/aut | |
| 700 | 1 | |a Cont, Rama. |e author. |0 (orcid)0000-0003-1164-6053 |1 https://orcid.org/0000-0003-1164-6053 |4 aut |4 http://id.loc.gov/vocabulary/relators/aut | |
| 700 | 1 | |a Utzet, Frederic. |e editor. |4 edt |4 http://id.loc.gov/vocabulary/relators/edt | |
| 700 | 1 | |a Vives, Josep. |e editor. |4 edt |4 http://id.loc.gov/vocabulary/relators/edt | |
| 710 | 2 | |a SpringerLink (Online service) | |
| 773 | 0 | |t Springer Nature eBook | |
| 776 | 0 | 8 | |i Printed edition: |z 9783319271279 |
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| 830 | 0 | |a Advanced Courses in Mathematics - CRM Barcelona, |x 2297-0312 | |
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| 912 | |a ZDB-2-SMA | ||
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| 950 | |a Mathematics and Statistics (SpringerNature-11649) | ||
| 950 | |a Mathematics and Statistics (R0) (SpringerNature-43713) | ||