Stochastic Integration by Parts and Functional Itô Calculus
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| Preise | Juni 16 | Feb. 19 | Sep. 19 |
|---|---|---|---|
| Schnitt | € 25,29 | € 23,30 | € 23,13 |
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1
Stochastic Integration by Parts and Functional Itô Calculus (2012)
DE NW EB DLISBN: 9783319271286 bzw. 3319271288, in Deutsch, Springer Shop, neu, E-Book, elektronischer Download.
Lieferung aus: Deutschland, Lagernd.
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. eBook.
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. eBook.
2
Stochastic Integration by Parts and Functional Ito Calculus (2012)
DE NW EB DLISBN: 9783319271286 bzw. 3319271288, in Deutsch, Springer International Publishing, neu, E-Book, elektronischer Download.
Lieferung aus: Deutschland, Versandkostenfrei.
Die Beschreibung dieses Angebotes ist von geringer Qualität oder in einer Fremdsprache. Trotzdem anzeigen
Die Beschreibung dieses Angebotes ist von geringer Qualität oder in einer Fremdsprache. Trotzdem anzeigen
3
Stochastic Integration by Parts and Functional Itô Calculus
DE PB NWISBN: 9783319271286 bzw. 3319271288, in Deutsch, Springer International Publishing, Taschenbuch, neu.
Die Beschreibung dieses Angebotes ist von geringer Qualität oder in einer Fremdsprache. Trotzdem anzeigen
4
Stochastic Integration by Parts and Functional Itô Calculus (ebook)
EN NW EBISBN: 9783319271286 bzw. 3319271288, in Englisch, (null), neu, E-Book.
Die Beschreibung dieses Angebotes ist von geringer Qualität oder in einer Fremdsprache. Trotzdem anzeigen
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