Stochastic Calculus via Regularizations: Bocconi & Springer Series, cartea 11
Autor Francesco Russo, Pierre Valloisen Limba Engleză Hardback – 16 noi 2022
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Specificații
ISBN-13: 9783031094453
ISBN-10: 303109445X
Pagini: 672
Ilustrații: XXXI, 638 p.
Dimensiuni: 160 x 241 x 42 mm
Greutate: 1.11 kg
Ediția:1st ed. 2022
Editura: Springer
Colecția Bocconi & Springer Series
Seria Bocconi & Springer Series
Locul publicării:Cham, Switzerland
ISBN-10: 303109445X
Pagini: 672
Ilustrații: XXXI, 638 p.
Dimensiuni: 160 x 241 x 42 mm
Greutate: 1.11 kg
Ediția:1st ed. 2022
Editura: Springer
Colecția Bocconi & Springer Series
Seria Bocconi & Springer Series
Locul publicării:Cham, Switzerland
Cuprins
- 1. Review on Basic Probability Theory. - 2. Processes, Brownian Motion and Martingales. - 3. Fractional Brownian Motion and Related Processes. - 4. Stochastic Integration via Regularization. - 5. Itô Integrals. - 6. Stability of the Covariation and Itô’s Formula. - 7. Change of probability and martingale representation. - 8. About finite quadratic variation: examples. - 9. Hermite Polynomials and Wiener Chaos. - 10. Elements of Wiener Analysis. - 11. Elements of Non-causal Calculus. - 12. Itô Classical Stochastic Differential Equations. - 13. Itô SDEs with Non-Lipschitz Coefficients. - 14. Föllmer–Dirichlet Processes. - 15. Weak Dirichlet Processes. - Stochastic Calculus with n-Covariations. - Calculus via Regularization and Rough Paths.
Recenzii
“There is a comprehensive list of 344 references, papers and books, and an index. The book will be a valuable source of ideas, techniques, results and illustrations to anyone, researcher, university lecturer, PhD student, applied scientist, etc. dealing with stochastic calculus and its applications.” (Jordan M. Stoyanov, zbMATH 1529.60003, 2024)
“Russo and Vallois's book is an excellent and up-to-date monograph on stochastic analysis, with the theory of integration via regularization at its core. ... The book is a monograph at the advanced research level and essentially could be useful for researchers in stochastic analysis. ... The book is strongly recommendable for Ph.D. students and researchers in stochastic analysis.” (Josep Vives, Mathematical Reviews, Issue (5), March, 2024)
“Russo and Vallois's book is an excellent and up-to-date monograph on stochastic analysis, with the theory of integration via regularization at its core. ... The book is a monograph at the advanced research level and essentially could be useful for researchers in stochastic analysis. ... The book is strongly recommendable for Ph.D. students and researchers in stochastic analysis.” (Josep Vives, Mathematical Reviews, Issue (5), March, 2024)
Notă biografică
Marco Romano is Full professor of Management at the Department of Economics and Business at the University of Catania. He is an associate research fellow on technology transfer at the National Institute for Nuclear Physics and a board member of Fondazione GRINS. He authored and co-authored numerous publications in international journals on entrepreneurial issues with respect to scientists as principal investigators, entrepreneurial universities, entrepreneurial ecosystems and technology transfer. He serves as Associate Editor of the Journal of Intellectual Capital.
Melita Nicotra is Associate Professor and Qualified Full Professor of Management at the University of Catania, Department of Economics and Man-agement, where she teaches Management. She is also member of the teaching staff of the PhD in Economics, Management and Statistics. She is author of numerous international publications on primary management journals. Over the years she has carried out an intense research activity in qualified Italian and foreign institutes on the topics of ecosystems, entrepreneurship and innovation.
Valentina Mallamaci is Research Fellow at the Department of Economics and Business at the University of Catania, member of GRINS Project re-search team. PhD in Economics and Quantitative Methods. She was visiting PhD in Management of Innovation and New Technologies at the ICRIOS Center of Bocconi University, where she also collaborated on the Marie Sk¿odowska-Curie Actions projects "Taltech Industrial" and "CatChain". She conducted a research period at the Tallinn University of Technology and the United Nations University - Maastricht Economic and Social Re-search Institute on Innovation and Technology in Maastricht. Her research focuses on knowledge management; innovation management; entrepreneurial and innovation ecosystems; entrepreneurial education.
Francesco Russo is a PhD in Economics, Management, and Decision Making. He is a Knowledge Transfer Manager for technology scouting and research valorization within R.INN.OVA - UNICT 5.0 project.
He was a research fellow within GRINS project at the University of Catania (Italy), a visiting doctoral researcher at NEOMA Business School in Reims (France), and worked in the marketing department of Neodata Group, a big data analytics company. His research focuses on entrepreneurship, digital transformation, big data and artificial intelligence, advertising, omnichannel strategy, and customer experience.
Textul de pe ultima copertă
The book constitutes an introduction to stochastic calculus, stochastic differential equations and related topics such as Malliavin calculus. On the other hand it focuses on the techniques of stochastic integration and calculus via regularization initiated by the authors. The definitions relies on a smoothing procedure of the integrator process, they generalize the usual Itô and Stratonovich integrals for Brownian motion but the integrator could also not be a semimartingale and the integrand is allowed to be anticipating. The resulting calculus requires a simple formalism: nevertheless it entails pathwise techniques even though it takes into account randomness. It allows connecting different types of pathwise and non pathwise integrals such as Young, fractional, Skorohod integrals, enlargement of filtration and rough paths. The covariation, but also high order variations, play a fundamental role in the calculus via regularization, which can also be applied for irregular integrators. A large class of Gaussian processes, various generalizations of semimartingales such that Dirichlet and weak Dirichlet processes are revisited. Stochastic calculus via regularization has been successfully used in applications, for instance in robust finance and on modeling vortex filaments in turbulence. The book is addressed to PhD students and researchers in stochastic analysis and applications to various fields.
Caracteristici
A self-contained contribution to stochastic analysis mixing probability functional analysis and pathwise techniques A comprehensive book starting from elementary concepts in probability Formulates the state of the art of stochastic calculus beyond semimartingales