This volume contains lecture notes from the coursesgiven 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-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 Ito Calculus, a non-anticipative functionalcalculus that extends the classical Ito 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.
Vlad Bally & Lucia Caramellino
Stochastic Integration by Parts and Functional Ito Calculus [PDF ebook]
Stochastic Integration by Parts and Functional Ito Calculus [PDF ebook]
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язык английский ● Формат PDF ● ISBN 9783319271286 ● редактор Frederic Utzet & Josep Vives ● издатель Springer International Publishing ● опубликованный 2016 ● Загружаемые 3 раз ● валюта EUR ● Код товара 6303619 ● Защита от копирования Adobe DRM
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