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Field name	Details
Dewey Class	519.2
Title	Stochastic Integration by Parts and Functional Itô Calculus ([EBook]) / by Vlad Bally, Lucia Caramellino, Rama Cont ; edited by Frederic Utzet, Josep Vives.
Author	Bally, Vlad
Added Personal Name	Caramellino, Lucia author.
	Cont, Rama author.
	Utzet, Frederic editor.
	Vives, Josep editor.
Other name(s)	SpringerLink (Online service)
Edition statement	1st ed. 2016.
Publication	Cham : : Springer International Publishing : : Imprint: Birkhäuser, , 2016.
Physical Details	IX, 207 p. 1 illus. in color. : online resource.
Series	Advanced courses in mathematics, CRM Barcelona 2297-0304
ISBN	9783319271286
Summary Note	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.:
System details note	Online access to this digital book is restricted to subscription institutions through IP address (only for SISSA internal users)
Internet Site	http://dx.doi.org/10.1007/978-3-319-27128-6
Links to Related Works	Subject References: Differential Equations . Mathematics . Ordinary differential equations . Partial differential equations . Probabilities . Probability theory and stochastic processes . Authors: Bally, Vlad . Caramellino, Lucia . Cont, Rama . Utzet, Frederic . Vives, Josep . Corporate Authors: SpringerLink (Online service) . Series: Advanced courses in mathematics, CRM Barcelona . Classification: 519.2 .

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Stochastic Integration by Parts and Functional Itô Calculus

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