Stochastic integration by parts and functional itô calculus
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...
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| Format: | Book |
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Springer
2016
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| _version_ | 1797063891350454272 |
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| author | Bally, V Caramellino, L Cont, R |
| author2 | Utzet, F |
| author_facet | Utzet, F Bally, V Caramellino, L Cont, R |
| author_sort | Bally, V |
| collection | OXFORD |
| description | 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, which arise in the study of martingales and forward-backward stochastic differential equations. |
| first_indexed | 2024-03-06T21:06:26Z |
| format | Book |
| id | oxford-uuid:3ca084b2-73f4-4ac8-b8d3-4ce4f985ce80 |
| institution | University of Oxford |
| last_indexed | 2024-03-06T21:06:26Z |
| publishDate | 2016 |
| publisher | Springer |
| record_format | dspace |
| spelling | oxford-uuid:3ca084b2-73f4-4ac8-b8d3-4ce4f985ce802022-03-26T14:14:39ZStochastic integration by parts and functional itô calculusBookhttp://purl.org/coar/resource_type/c_2f33uuid:3ca084b2-73f4-4ac8-b8d3-4ce4f985ce80Symplectic Elements at OxfordSpringer2016Bally, VCaramellino, LCont, RUtzet, FVives, JThis 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, which arise in the study of martingales and forward-backward stochastic differential equations. |
| spellingShingle | Bally, V Caramellino, L Cont, R Stochastic integration by parts and functional itô calculus |
| title | Stochastic integration by parts and functional itô calculus |
| title_full | Stochastic integration by parts and functional itô calculus |
| title_fullStr | Stochastic integration by parts and functional itô calculus |
| title_full_unstemmed | Stochastic integration by parts and functional itô calculus |
| title_short | Stochastic integration by parts and functional itô calculus |
| title_sort | stochastic integration by parts and functional ito calculus |
| work_keys_str_mv | AT ballyv stochasticintegrationbypartsandfunctionalitocalculus AT caramellinol stochasticintegrationbypartsandfunctionalitocalculus AT contr stochasticintegrationbypartsandfunctionalitocalculus |