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Viser: Stochastic Integration by Parts and Functional Itô Calculus

Stochastic Integration by Parts and Functional Itô Calculus
Søgbar e-bog

Stochastic Integration by Parts and Functional Itô Calculus Vital Source e-bog

Vlad Bally, Lucia Caramellino og Rama Cont
(2016)
Springer Nature
135,00 kr.
Leveres umiddelbart efter køb
Stochastic Integration by Parts and Functional Itô Calculus

Stochastic Integration by Parts and Functional Itô Calculus Vital Source e-bog

Vlad Bally, Lucia Caramellino og Rama Cont
(2016)
Springer Nature
67,00 kr.
Leveres umiddelbart efter køb
Stochastic Integration by Parts and Functional Itô Calculus

Stochastic Integration by Parts and Functional Itô Calculus Vital Source e-bog

Vlad Bally, Lucia Caramellino og Rama Cont
(2016)
Springer Nature
88,00 kr.
Leveres umiddelbart efter køb
Stochastic Integration by Parts and Functional Itô Calculus, 1. udgave

Stochastic Integration by Parts and Functional Itô Calculus

Vlad Bally, Lucia Caramellino, Rama Cont, Frederic Utzet og Josep Vives
(2016)
Sprog: Engelsk
Springer International Publishing AG
297,00 kr.
Print on demand. Leveringstid vil være ca 2-3 uger.

Detaljer om varen

  • Vital Source searchable e-book (Fixed pages)
  • Udgiver: Springer Nature (Marts 2016)
  • Forfattere: Vlad Bally, Lucia Caramellino og Rama Cont
  • ISBN: 9783319271286
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.
Licens varighed:
Bookshelf online: 5 år fra købsdato.
Bookshelf appen: ubegrænset dage fra købsdato.

Udgiveren oplyser at følgende begrænsninger er gældende for dette produkt:
Print: 2 sider kan printes ad gangen
Copy: højest 2 sider i alt kan kopieres (copy/paste)

Detaljer om varen

  • Vital Source 90 day rentals (fixed pages)
  • Udgiver: Springer Nature (Marts 2016)
  • Forfattere: Vlad Bally, Lucia Caramellino og Rama Cont
  • ISBN: 9783319271286R90
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.
Licens varighed:
Bookshelf online: 90 dage fra købsdato.
Bookshelf appen: 90 dage fra købsdato.

Udgiveren oplyser at følgende begrænsninger er gældende for dette produkt:
Print: 2 sider kan printes ad gangen
Copy: højest 2 sider i alt kan kopieres (copy/paste)

Detaljer om varen

  • Vital Source 180 day rentals (fixed pages)
  • Udgiver: Springer Nature (Marts 2016)
  • Forfattere: Vlad Bally, Lucia Caramellino og Rama Cont
  • ISBN: 9783319271286R180
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.
Licens varighed:
Bookshelf online: 180 dage fra købsdato.
Bookshelf appen: 180 dage fra købsdato.

Udgiveren oplyser at følgende begrænsninger er gældende for dette produkt:
Print: 2 sider kan printes ad gangen
Copy: højest 2 sider i alt kan kopieres (copy/paste)

Detaljer om varen

  • 1. Udgave
  • Paperback: 204 sider
  • Udgiver: Springer International Publishing AG (Marts 2016)
  • Forfattere: Vlad Bally, Lucia Caramellino, Rama Cont, Frederic Utzet og Josep Vives
  • ISBN: 9783319271279

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.

Integration by parts formulas, Malliavin calculus and regularity of probability laws.- Functional Ito calculus and functional Kolmogorov equations.
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