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Stochastic Integration by Parts and Functional Itô Calculus (Advanced Courses in Mathematics - CRM Barcelona) - Tapa blanda

Libro 23 de 35: Advanced Courses in Mathematics - CRM Barcelona

Bally, Vlad; Caramellino, Lucia; Cont, Rama

 
9783319271279: Stochastic Integration by Parts and Functional Itô Calculus (Advanced Courses in Mathematics - CRM Barcelona)
Tapa blanda
ISBN 10: 331927127X ISBN 13: 9783319271279
Editorial: Birkhäuser, 2016

Sinopsis

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.

"Sinopsis" puede pertenecer a otra edición de este libro.

De la contraportada

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.

"Sobre este título" puede pertenecer a otra edición de este libro.

Editorial
Birkhäuser
Año de publicación
2016
Idioma
Inglés
ISBN 10 
331927127X
ISBN 13 
9783319271279
Encuadernación
Tapa blanda
Número de edición
1
Número de páginas
208
Editor
Utzet Frederic, Vives Josep
Contacto del fabricante
Springer Nature Customer Service Center GmbH
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