Items related to Stochastic Integration by Parts and Functional Itô...
Stochastic Integration by Parts and Functional Itô Calculus (Advanced Courses in Mathematics - CRM Barcelona) - Softcover
Synopsis
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.
"synopsis" may belong to another edition of this title.
From the Back Cover
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.
"About this title" may belong to another edition of this title.
Search results for Stochastic Integration by Parts and Functional Itô...
Stock Image
Stochastic Integration by Parts and Functional Ito Calculus (Advanced Courses in Mathematics - CRM Barcelona)
Seller: Zubal-Books, Since 1961, Cleveland, OH, U.S.A.
Seller rating 5 out of 5 stars
Condition: Fine. *Price HAS BEEN temporarily REDUCED by 10% until Monday, Sept. 8 (sale item)* 217 pp., paperback, fine. - If you are reading this, this item is actually (physically) in our stock and ready for shipment once ordered. We are not bookjackers. Buyer is responsible for any additional duties, taxes, or fees required by recipient's country. Seller Inventory # ZB1316610
Quantity: 1 available
Stock Image
Stochastic Integration by Parts and Functional It? Calculus (Advanced Courses in Mathematics: Crm Barcelona)
Published by
Springer (India) Private Limited, 2016
ISBN 10: 331927127X
ISBN 13: 9783319271279
New
Softcover
Seller: Books Puddle, New York, NY, U.S.A.
Seller rating 4 out of 5 stars
Condition: New. Seller Inventory # 26373149578
Quantity: 4 available
Stock Image
Stochastic Integration by Parts and Functional It? Calculus (Advanced Courses in Mathematics: Crm Barcelona)
Published by
Springer (India) Private Limited, 2016
ISBN 10: 331927127X
ISBN 13: 9783319271279
New
Softcover
Seller: Majestic Books, Hounslow, United Kingdom
Seller rating 5 out of 5 stars
Condition: New. Print on Demand. Seller Inventory # 373977173
Quantity: 4 available
Seller Image
Stochastic Integration by Parts and Functional Itô Calculus
Published by
Springer International Publishing Mrz 2016, 2016
ISBN 10: 331927127X
ISBN 13: 9783319271279
New
Taschenbuch
Seller: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Germany
Seller rating 5 out of 5 stars
Taschenbuch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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. 220 pp. Englisch. Seller Inventory # 9783319271279
Quantity: 2 available
Stock Image
Stochastic Integration by Parts and Functional It? Calculus (Advanced Courses in Mathematics: Crm Barcelona)
Published by
Springer (India) Private Limited, 2016
ISBN 10: 331927127X
ISBN 13: 9783319271279
New
Softcover
Seller: Biblios, Frankfurt am main, HESSE, Germany
Seller rating 5 out of 5 stars
Condition: New. PRINT ON DEMAND. Seller Inventory # 18373149568
Quantity: 4 available
Seller Image
Stochastic Integration by Parts and Functional Itô Calculus
Published by
Springer International Publishing, 2016
ISBN 10: 331927127X
ISBN 13: 9783319271279
New
Softcover
Seller: moluna, Greven, Germany
Seller rating 5 out of 5 stars
Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Includes a general method forproving existence of a density for stochastic processes, using interpolationspacesIllustrates a pathwise derivation of the Ito formulaand the Functional Ito calculusProvides solutions to problems in applied fiel. Seller Inventory # 83966798
Quantity: Over 20 available
Stock Image
Stochastic Integration by Parts and Functional Itô Calculus
Seller: Revaluation Books, Exeter, United Kingdom
Seller rating 5 out of 5 stars
Paperback. Condition: Brand New. 207 pages. 9.25x6.50x0.50 inches. In Stock. Seller Inventory # 331927127X
Quantity: 1 available
Seller Image
Stochastic Integration by Parts and Functional Itô Calculus
ISBN 10: 331927127X
ISBN 13: 9783319271279
New
Taschenbuch
Seller: buchversandmimpf2000, Emtmannsberg, BAYE, Germany
Seller rating 5 out of 5 stars
Taschenbuch. Condition: Neu. This item is printed on demand - Print on Demand Titel. Neuware -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.Springer Basel AG in Springer Science + Business Media, Heidelberger Platz 3, 14197 Berlin 220 pp. Englisch. Seller Inventory # 9783319271279
Quantity: 1 available
Seller Image
Stochastic Integration by Parts and Functional Itô Calculus
Published by
Springer International Publishing, Springer International Publishing, 2016
ISBN 10: 331927127X
ISBN 13: 9783319271279
New
Taschenbuch
Seller: AHA-BUCH GmbH, Einbeck, Germany
Seller rating 5 out of 5 stars
Taschenbuch. Condition: Neu. Druck auf Anfrage Neuware - Printed after ordering - 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. Seller Inventory # 9783319271279
Quantity: 1 available