Stochastic integration by parts and functional Itô Calculus:
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Körperschaft: | |
| Weitere Verfasser: | , |
| Format: | Elektronisch Tagungsbericht E-Book |
| Sprache: | English |
| Veröffentlicht: |
[Basel]
Birkhäuser
[2016]
|
| Schriftenreihe: | Advanced courses in mathematics - CRM Barcelona
|
| Schlagworte: | |
| Online-Zugang: | BTU01 FHR01 FRO01 TUM01 UBM01 UBT01 UBW01 UEI01 UPA01 Volltext Abstract |
| Beschreibung: | 1 Online-Ressource (IX, 207 Seiten, 1 illus. in color) |
| ISBN: | 9783319271286 |
| ISSN: | 2297-0304 |
| DOI: | 10.1007/978-3-319-27128-6 |
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Datensatz im Suchindex
| _version_ | 1804176141102088192 |
|---|---|
| adam_text | STOCHASTIC INTEGRATION BY PARTS AND FUNCTIONAL ITO CALCULUS
/ BALLY, VLAD
: 2016
ABSTRACT / INHALTSTEXT
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
DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
|
| any_adam_object | 1 |
| author | Bally, Vlad Caramellino, Lucia Cont, Rama |
| author2 | Utzet, Frederic Vives, Josep |
| author2_role | edt edt |
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| author_GND | (DE-588)1097759091 (DE-588)1097759180 (DE-588)140923446 (DE-588)1097759520 (DE-588)1033177210 |
| author_corporate | Barcelona Summer School on Stochastic Analysis Barcelona |
| author_corporate_role | aut |
| author_facet | Bally, Vlad Caramellino, Lucia Cont, Rama Utzet, Frederic Vives, Josep Barcelona Summer School on Stochastic Analysis Barcelona |
| author_role | aut aut aut |
| author_sort | Barcelona Summer School on Stochastic Analysis Barcelona |
| author_variant | v b vb l c lc r c rc |
| building | Verbundindex |
| bvnumber | BV043503932 |
| classification_rvk | SK 820 |
| classification_tum | MAT 000 |
| collection | ZDB-2-SMA |
| ctrlnum | (ZDB-2-SMA)978-3-319-27128-6 (OCoLC)949955922 (DE-599)BVBBV043503932 |
| dewey-full | 519.2 |
| dewey-hundreds | 500 - Natural sciences and mathematics |
| dewey-ones | 519 - Probabilities and applied mathematics |
| dewey-raw | 519.2 |
| dewey-search | 519.2 |
| dewey-sort | 3519.2 |
| dewey-tens | 510 - Mathematics |
| discipline | Mathematik |
| doi_str_mv | 10.1007/978-3-319-27128-6 |
| format | Electronic Conference Proceeding eBook |
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| record_format | marc |
| series2 | Advanced courses in mathematics - CRM Barcelona |
| spelling | Barcelona Summer School on Stochastic Analysis 1. 2012 Barcelona Verfasser (DE-588)1098168321 aut Stochastic integration by parts and functional Itô Calculus Vlad Bally, Lucia Caramellino, Rama Cont ; editors for this volume: Frederic Utzet, Josep Vives [Basel] Birkhäuser [2016] © 2016 1 Online-Ressource (IX, 207 Seiten, 1 illus. in color) txt rdacontent c rdamedia cr rdacarrier Advanced courses in mathematics - CRM Barcelona 2297-0304 Mathematics Differential equations Partial differential equations Probabilities Probability Theory and Stochastic Processes Ordinary Differential Equations Partial Differential Equations Mathematik Ito-Formel (DE-588)4487896-5 gnd rswk-swf Partielle Differentialgleichung (DE-588)4044779-0 gnd rswk-swf Stochastisches Integral (DE-588)4126478-2 gnd rswk-swf Stochastische Differentialgleichung (DE-588)4057621-8 gnd rswk-swf (DE-588)1071861417 Konferenzschrift 2012 Barcelona gnd-content Stochastisches Integral (DE-588)4126478-2 s Ito-Formel (DE-588)4487896-5 s Stochastische Differentialgleichung (DE-588)4057621-8 s Partielle Differentialgleichung (DE-588)4044779-0 s 1\p DE-604 Bally, Vlad (DE-588)1097759091 aut Caramellino, Lucia (DE-588)1097759180 aut Cont, Rama (DE-588)140923446 aut Utzet, Frederic (DE-588)1097759520 edt Vives, Josep (DE-588)1033177210 edt Erscheint auch als Druckausgabe 978-3-319-27127-9 https://doi.org/10.1007/978-3-319-27128-6 Verlag URL des Erstveröffentlichers Volltext Springer Fremddatenuebernahme application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028920277&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Abstract 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Bally, Vlad Caramellino, Lucia Cont, Rama Stochastic integration by parts and functional Itô Calculus Mathematics Differential equations Partial differential equations Probabilities Probability Theory and Stochastic Processes Ordinary Differential Equations Partial Differential Equations Mathematik Ito-Formel (DE-588)4487896-5 gnd Partielle Differentialgleichung (DE-588)4044779-0 gnd Stochastisches Integral (DE-588)4126478-2 gnd Stochastische Differentialgleichung (DE-588)4057621-8 gnd |
| subject_GND | (DE-588)4487896-5 (DE-588)4044779-0 (DE-588)4126478-2 (DE-588)4057621-8 (DE-588)1071861417 |
| title | Stochastic integration by parts and functional Itô Calculus |
| title_auth | Stochastic integration by parts and functional Itô Calculus |
| title_exact_search | Stochastic integration by parts and functional Itô Calculus |
| title_full | Stochastic integration by parts and functional Itô Calculus Vlad Bally, Lucia Caramellino, Rama Cont ; editors for this volume: Frederic Utzet, Josep Vives |
| title_fullStr | Stochastic integration by parts and functional Itô Calculus Vlad Bally, Lucia Caramellino, Rama Cont ; editors for this volume: Frederic Utzet, Josep Vives |
| title_full_unstemmed | Stochastic integration by parts and functional Itô Calculus Vlad Bally, Lucia Caramellino, Rama Cont ; editors for this volume: Frederic Utzet, Josep Vives |
| title_short | Stochastic integration by parts and functional Itô Calculus |
| title_sort | stochastic integration by parts and functional ito calculus |
| topic | Mathematics Differential equations Partial differential equations Probabilities Probability Theory and Stochastic Processes Ordinary Differential Equations Partial Differential Equations Mathematik Ito-Formel (DE-588)4487896-5 gnd Partielle Differentialgleichung (DE-588)4044779-0 gnd Stochastisches Integral (DE-588)4126478-2 gnd Stochastische Differentialgleichung (DE-588)4057621-8 gnd |
| topic_facet | Mathematics Differential equations Partial differential equations Probabilities Probability Theory and Stochastic Processes Ordinary Differential Equations Partial Differential Equations Mathematik Ito-Formel Partielle Differentialgleichung Stochastisches Integral Stochastische Differentialgleichung Konferenzschrift 2012 Barcelona |
| url | https://doi.org/10.1007/978-3-319-27128-6 http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028920277&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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