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Stochastic Integration by Parts and Functional Ito Calculus

0

121.16  Lei 142.54  Lei

sau 12116 de puncte. Detalii.

Livrare in 15 zile lucratoare

Cod: BRT9783319271279

An aparitie: 2016

Autor: Vlad Bally

Categoria: Maths

Editie: necartonata

Editura: Springer

Format: 241 x 180 x 12 mm

Limba: English

Nr. pagini: 208



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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 Ito Calculus, a non-anticipative functional
calculus that extends the classical Ito 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.

Livrarea se face din stoc din depozitul de carte Libris, in zilele lucratoare. Transportul este gratuit prin curier rapid, oriunde in Romania, pentru orice comanda de minimum 75 de lei. Pentru orice solicitare apelati call center-ul Libris de luni pana vineri intre orele 8-20.


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