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2016,Stochastic Integration by Parts and Functional Itô Calculus pdf

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  • TA的每日心情
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    2016-3-19 06:18
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    [LV.4]偶尔看看III

    发表于 2016-3-23 09:09:00 | 显示全部楼层 |阅读模式
    Stochastic Integration by Parts and Functional Itô Calculus (Advanced Courses in Mathematics - CRM Barcelona)pdf, 2016
    by Vlad Bally and Lucia Caramellino
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    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.

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  • TA的每日心情
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    2017-12-15 11:07
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    [LV.7]常住居民III

    发表于 2016-6-9 10:13:19 | 显示全部楼层
    谢谢楼主辛苦分享!!!!
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    发表于 2016-12-29 10:18:58 | 显示全部楼层
    Thanks a lot.


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  • TA的每日心情
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    2017-9-16 23:04
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    [LV.3]偶尔看看II

    发表于 2018-4-26 23:40:02 | 显示全部楼层
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