53,39 €
Stochastic Integration by Parts and Functional Itô Calculus
Stochastic Integration by Parts and Functional Itô Calculus
  • Išparduota
Stochastic Integration by Parts and Functional Itô Calculus
Stochastic Integration by Parts and Functional Itô Calculus
El. knyga:
53,39 €
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 a…

Stochastic Integration by Parts and Functional Itô Calculus (el. knyga) (skaityta knyga) | knygos.lt

Atsiliepimai

Įvertinimų nėra.
Įvertink ir tu! Visi atsiliepimai

Formatai:

53,39 € El. knyga

Aprašymas

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.

53,39 €
Prisijunkite ir už šią prekę
gausite 0,53 Knygų Eurų! ?

Elektroninė knyga:
Atsiuntimas po užsakymo akimirksniu! Skirta skaitymui tik kompiuteryje, planšetėje ar kitame elektroniniame įrenginyje.

Mažiausia kaina per 30 dienų: 53,39 €

Mažiausia kaina užfiksuota: Kaina nesikeitė


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.

Atsiliepimai

  • Atsiliepimų nėra
0 pirkėjai įvertino šią prekę.
5
0%
4
0%
3
0%
2
0%
1
0%
(rodomas nebus)
Knygos.lt komentarų taisyklės
[{"option":"222","probability":1,"style":{"backgroundColor":"#ffffff"},"image":{"uri":"\/uploads\/images\/wheel_of_fortune\/6a3ba631ba76d1782294065.png","sizeMultiplier":0.6,"landscape":true,"offsetX":-50}},{"option":"221","probability":1.3,"style":{"backgroundColor":"#e1032e"},"image":{"uri":"\/uploads\/images\/wheel_of_fortune\/6a3ba61ea9f381782294046.png","sizeMultiplier":0.6,"landscape":true,"offsetX":-50}},{"option":"220","probability":1.6,"style":{"backgroundColor":"#ffffff"},"image":{"uri":"\/uploads\/images\/wheel_of_fortune\/6a3ba60167d251782294017.png","sizeMultiplier":0.6,"landscape":true,"offsetX":-50}},{"option":"219","probability":1.5,"style":{"backgroundColor":"#e2022e"},"image":{"uri":"\/uploads\/images\/wheel_of_fortune\/6a3ba5ea1c47d1782293994.png","sizeMultiplier":0.6,"landscape":true,"offsetX":-50}},{"option":"218","probability":1.5,"style":{"backgroundColor":"#ffffff"},"image":{"uri":"\/uploads\/images\/wheel_of_fortune\/6a3ba5d38b4a21782293971.png","sizeMultiplier":0.6,"landscape":true,"offsetX":-50}},{"option":"217","probability":1.6,"style":{"backgroundColor":"#e3022e"},"image":{"uri":"\/uploads\/images\/wheel_of_fortune\/6a3ba5b981b7a1782293945.png","sizeMultiplier":0.6,"landscape":true,"offsetX":-50}},{"option":"216","probability":1.4,"style":{"backgroundColor":"#ffffff"},"image":{"uri":"\/uploads\/images\/wheel_of_fortune\/6a3ba58b535551782293899.png","sizeMultiplier":0.6,"landscape":true,"offsetX":-50}},{"option":"215","probability":0.1,"style":{"backgroundColor":"#ffe01a"},"image":{"uri":"\/uploads\/images\/wheel_of_fortune\/6a3ba53a6496f1782293818.png","sizeMultiplier":0.6,"landscape":true,"offsetX":-50}}]