Stochastic Integration by Parts and Functional Itô Calculus
Language: English
Published by Springer International Publishing, 2016
Series: Book 23 of 35 - Advanced Courses in Mathematics - CRM Barcelona
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Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Includes a general method forproving existence of a density for stochastic processes, using interpolationspacesIllustrates a pathwise derivation of the Ito formulaand the Functional Ito calculusProvides solutions to problems in applied fiel.
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- Title
- Stochastic Integration by Parts and Functional Itô Calculus
- Author
- Vlad Bally|Lucia Caramellino|Rama Cont
- Publisher
- Springer International Publishing
- Publication year
- 2016
- Condition
- New
- Binding
- Kartoniert / Broschiert
- Language
- English
- ISBN 10
- 331927127X
- ISBN 13
- 9783319271279
- Dimensions
- 1.3 x 24 x 17
- Series
- Book 23 of 35: Advanced Courses in Mathematics - CRM Barcelona
- Seller catalogs
- Mathematik/Naturwissenschaften/Technik/Medizin
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.
"Synopsis" may belong to another edition of this title.
From the Back Cover
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.
"About the title" may belong to another edition of this title.
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