Stochastic integration by parts and functional itô calculus
Auteur :
Bally, Vlad / Caramellino, Lucia / Cont, Rama
Éditeur :
Birkhauser Verlag AG
ISBN :
9783319271279
Date de publication :
23 mars 2016
Dimensions :
24,0 x 16,8 cm
Langue :
Anglais
Pays d'origine :
Suisse
This volume contains lecture notes from the coursesgiven by Vlad Bally and Rama Cont at the Barcelona Summer School on StochasticAnalysis (July 2012). The notes of the course by Vlad Bally, co-authoredwith Lucia Caramellino, develop integration by parts formulas in an abstractsetting, extending Malliavin's work on abstract Wiener spaces.