Holdings: Stochastic integration by parts and functional Itô Calculus

Stochastic integration by parts and functional Itô Calculus:

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Bibliographic Details
Main Authors:	Bally, Vlad (Author), Caramellino, Lucia (Author), Cont, Rama (Author)
Corporate Author:	Barcelona Summer School on Stochastic Analysis Barcelona (Author)
Other Authors:	Utzet, Frederic (Editor), Vives, Josep (Editor)
Format:	Electronic Conference Proceeding eBook
Language:	English
Published:	[Basel] Birkhäuser [2016]
Series:	Advanced courses in mathematics - CRM Barcelona
Subjects:	Mathematics Differential equations Partial differential equations Probabilities Probability Theory and Stochastic Processes Ordinary Differential Equations Partial Differential Equations Mathematik Partielle Differentialgleichung Ito-Formel Stochastische Differentialgleichung Stochastisches Integral Konferenzschrift > 2012 > Barcelona
Online Access:	DE-634 DE-898 DE-861 DE-91 DE-19 DE-703 DE-20 DE-824 DE-739 Volltext Abstract
Physical Description:	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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Record in the Search Index

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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.
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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 Partielle Differentialgleichung (DE-588)4044779-0 gnd rswk-swf Ito-Formel (DE-588)4487896-5 gnd rswk-swf Stochastische Differentialgleichung (DE-588)4057621-8 gnd rswk-swf Stochastisches Integral (DE-588)4126478-2 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 Partielle Differentialgleichung (DE-588)4044779-0 gnd Ito-Formel (DE-588)4487896-5 gnd Stochastische Differentialgleichung (DE-588)4057621-8 gnd Stochastisches Integral (DE-588)4126478-2 gnd
subject_GND	(DE-588)4044779-0 (DE-588)4487896-5 (DE-588)4057621-8 (DE-588)4126478-2 (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 Partielle Differentialgleichung (DE-588)4044779-0 gnd Ito-Formel (DE-588)4487896-5 gnd Stochastische Differentialgleichung (DE-588)4057621-8 gnd Stochastisches Integral (DE-588)4126478-2 gnd
topic_facet	Mathematics Differential equations Partial differential equations Probabilities Probability Theory and Stochastic Processes Ordinary Differential Equations Partial Differential Equations Mathematik Partielle Differentialgleichung Ito-Formel Stochastische Differentialgleichung Stochastisches Integral 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
work_keys_str_mv	AT barcelonasummerschoolonstochasticanalysisbarcelona stochasticintegrationbypartsandfunctionalitocalculus AT ballyvlad stochasticintegrationbypartsandfunctionalitocalculus AT caramellinolucia stochasticintegrationbypartsandfunctionalitocalculus AT contrama stochasticintegrationbypartsandfunctionalitocalculus AT utzetfrederic stochasticintegrationbypartsandfunctionalitocalculus AT vivesjosep stochasticintegrationbypartsandfunctionalitocalculus

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