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Stochastic integration by parts and functional itô calculus

Abstract:

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). 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...

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Publication status:
Published
Peer review status:
Peer reviewed

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Files:
Publisher copy:
10.1007/978-3-319-27128-6

Authors


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Institution:
University of Oxford
Division:
MPLS Division
Department:
Mathematical Institute
Oxford college:
St Hugh's College
Role:
Author
ORCID:
0000-0003-1164-6053

Contributors

Role:
Editor
Role:
Editor
Publisher:
Springer Publisher's website
Journal:
Stochastic integration by parts and functional itô calculus Journal website
Volume:
10
Pages:
207
Series:
Advanced Courses in Mathematics - CRM Barcelona
Publication date:
2016-03-23
DOI:
Source identifiers:
922511
ISBN:
9783319271279
Keywords:
Pubs id:
pubs:922511
UUID:
uuid:3ca084b2-73f4-4ac8-b8d3-4ce4f985ce80
Local pid:
pubs:922511
Deposit date:
2018-09-30

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