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Stochastic Integration by Parts and Functional Itô Calculus (Advanced Courses in Mathematics - CRM Barcelona) - Tapa blanda
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.
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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.
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Stochastic Integration by Parts and Functional Ito Calculus (Advanced Courses in Mathematics - CRM Barcelona)
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Birkhäuser, 2016
ISBN 10: 331927127X
ISBN 13: 9783319271279
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Condición: Fine. 217 pp., paperback, fine. - If you are reading this, this item is actually (physically) in our stock and ready for shipment once ordered. We are not bookjackers. Buyer is responsible for any additional duties, taxes, or fees required by recipient's country. Nº de ref. del artículo: ZB1316610
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Stochastic Integration by Parts and Functional Itô Calculus
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Springer International Publishing Mrz 2016, 2016
ISBN 10: 331927127X
ISBN 13: 9783319271279
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Taschenbuch. Condición: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -This volume contains lecture notes from the coursesgiven by Vlad Bally and Rama Cont at the Barcelona Summer School on StochasticAnalysis (July 2012).The notes of the course by Vlad Bally, co-authoredwith Lucia Caramellino, develop integration by parts formulas in an abstractsetting, extending Malliavin's work on abstract Wiener spaces. The results areapplied to prove absolute continuity and regularity results of the density fora broad class of random processes.Rama Cont's notes provide anintroduction to the Functional Itô Calculus, a non-anticipative functionalcalculus that extends the classical Itô calculus to path-dependent functionalsof stochastic processes. This calculus leads to a new class of path-dependentpartial differential equations, termed Functional Kolmogorov Equations, whicharise in the study of martingales and forward-backward stochastic differentialequations.This book will appeal to both young and senior researchers in probability and stochastic processes, as well as to practitioners in mathematical finance. 220 pp. Englisch. Nº de ref. del artículo: 9783319271279
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Stochastic Integration by Parts and Functional Itô Calculus
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Springer International Publishing, Springer International Publishing, 2016
ISBN 10: 331927127X
ISBN 13: 9783319271279
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Librería: AHA-BUCH GmbH, Einbeck, Alemania
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Taschenbuch. Condición: Neu. Druck auf Anfrage Neuware - Printed after ordering - This volume contains lecture notes from the coursesgiven by Vlad Bally and Rama Cont at the Barcelona Summer School on StochasticAnalysis (July 2012).The notes of the course by Vlad Bally, co-authoredwith Lucia Caramellino, develop integration by parts formulas in an abstractsetting, extending Malliavin's work on abstract Wiener spaces. The results areapplied to prove absolute continuity and regularity results of the density fora broad class of random processes.Rama Cont's notes provide anintroduction to the Functional Itô Calculus, a non-anticipative functionalcalculus that extends the classical Itô calculus to path-dependent functionalsof stochastic processes. This calculus leads to a new class of path-dependentpartial differential equations, termed Functional Kolmogorov Equations, whicharise in the study of martingales and forward-backward stochastic differentialequations.This book will appeal to both young and senior researchers in probability and stochastic processes, as well as to practitioners in mathematical finance. Nº de ref. del artículo: 9783319271279
Cantidad disponible: 1 disponibles
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Stochastic Integration by Parts and Functional Itô Calculus
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Springer International Publishing, 2016
ISBN 10: 331927127X
ISBN 13: 9783319271279
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Condición: New. 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. Nº de ref. del artículo: 83966798
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Stochastic Integration by Parts and Functional It? Calculus (Advanced Courses in Mathematics: Crm Barcelona)
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Springer (India) Private Limited, 2016
ISBN 10: 331927127X
ISBN 13: 9783319271279
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Stochastic Integration by Parts and Functional It? Calculus (Advanced Courses in Mathematics: Crm Barcelona)
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ISBN 10: 331927127X
ISBN 13: 9783319271279
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Stochastic Integration by Parts and Functional It? Calculus (Advanced Courses in Mathematics: Crm Barcelona)
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Springer (India) Private Limited, 2016
ISBN 10: 331927127X
ISBN 13: 9783319271279
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Stochastic Integration by Parts and Functional Itô Calculus
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Springer International Publishing, Springer International Publishing Mär 2016, 2016
ISBN 10: 331927127X
ISBN 13: 9783319271279
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Taschenbuch. Condición: Neu. This item is printed on demand - Print on Demand Titel. Neuware -This volume contains lecture notes from the coursesgiven by Vlad Bally and Rama Cont at the Barcelona Summer School on StochasticAnalysis (July 2012).The notes of the course by Vlad Bally, co-authoredwith Lucia Caramellino, develop integration by parts formulas in an abstractsetting, extending Malliavin's work on abstract Wiener spaces. The results areapplied to prove absolute continuity and regularity results of the density fora broad class of random processes.Rama Cont's notes provide anintroduction to the Functional Itô Calculus, a non-anticipative functionalcalculus that extends the classical Itô calculus to path-dependent functionalsof stochastic processes. This calculus leads to a new class of path-dependentpartial differential equations, termed Functional Kolmogorov Equations, whicharise in the study of martingales and forward-backward stochastic differentialequations.This book will appeal to both young and senior researchers in probability and stochastic processes, as well as to practitioners in mathematical finance.Springer Basel AG in Springer Science + Business Media, Heidelberger Platz 3, 14197 Berlin 220 pp. Englisch. Nº de ref. del artículo: 9783319271279
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Stochastic Integration by Parts and Functional Itô Calculus
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Paperback. Condición: Brand New. 207 pages. 9.25x6.50x0.50 inches. In Stock. Nº de ref. del artículo: 331927127X
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