Cantitate/Preț
Produs

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

De (autor) , , Editat de Frederic Utzet, Josep Vives
Notă GoodReads:
en Limba Engleză Carte Paperback – 23 Mar 2016
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.
Citește tot Restrânge

Din seria Advanced Courses in Mathematics - CRM Barcelona

Preț: 16384 lei

Preț vechi: 17623 lei
-7%

Puncte Express: 246

Preț estimativ în valută:
3301 3658$ 3011£

Carte tipărită la comandă

Livrare economică 23 septembrie-07 octombrie
Livrare express 22-24 august pentru 2956 lei

Preluare comenzi: 021 569.72.76

Specificații

ISBN-13: 9783319271279
ISBN-10: 331927127X
Pagini: 207
Dimensiuni: 168 x 240 x 12 mm
Greutate: 0.39 kg
Ediția: 1st ed. 2016
Editura: Springer
Colecția Birkhäuser
Seria Advanced Courses in Mathematics - CRM Barcelona

Locul publicării: Cham, Switzerland

Public țintă

Graduate

Cuprins

Integration by parts formulas, Malliavin calculus and regularity of probability laws.- Functional Ito calculus and functional Kolmogorov equations.

Textul de pe ultima copertă

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.

Caracteristici

Includes a general method forproving existence of a density for stochastic processes, using interpolationspaces
Illustrates a pathwise derivation of the Ito formulaand the Functional Ito calculus
Provides solutions to problems in applied fields suchas mathematical finance