Stochastic Integration by Parts and Functional Ito Calculus, Paperback / softback Book

Stochastic Integration by Parts and Functional Ito Calculus Paperback / softback

Edited by Frederic Utzet, Josep Vives

Part of the Advanced Courses in Mathematics - CRM Barcelona series

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Description

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 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.

Information

  • Format: Paperback / softback
  • Pages: 208 pages, 1 Illustrations, black and white; IX, 208 p. 1 illus.
  • Publisher: Birkhauser Verlag AG
  • Publication Date:
  • Category: Calculus
  • ISBN: 9783319271279

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