Titlebook: Stochastic Integration by Parts and Functional It? Calculus; Vlad Bally,Lucia Caramellino,Rama Cont,Frederic Ut Textbook 2016 Springer Int

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書目名稱Stochastic Integration by Parts and Functional It? Calculus影響因子(影響力)




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書目名稱Stochastic Integration by Parts and Functional It? Calculus被引頻次




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Stochastic Integration by Parts and Functional It? Calculus978-3-319-27128-6Series ISSN 2297-0304 Series E-ISSN 2297-0312

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https://doi.org/10.1007/978-3-319-27128-6Malliavin calculus; probability laws; path-dependent PDE; Kolmogorov equations; interpolation spaces; ord

得體

Integration by parts formulas and the Riesz transformThe aim of this chapter is to develop a general theory allowing to study the existence and regularity of the density of a probability law starting from integration by parts type formulas (leading to general Sobolev spaces) and the Riesz transform, as done in [2].

縮影

Consequence

Pathwise calculus for non-anticipative functionalsThe focus of these lectures is to define a calculus which can be used to describe the variations of interesting classes of functionals of a given reference stochastic process X. In order to cover interesting examples of processes, we allow X to have right-continuous paths with left limits, i.e., its paths lie in the space . of càdlàg paths.

engrossed

Weak functional calculus for square-integrable processesThe pathwise functional calculus presented in Chapters . and . extends the It? Calculus to a large class of path dependent functionals of semimartingales, of which we have already given several examples.

中世紀(jì)

Functional Kolmogorov equationsOne of the key topics in Stochastic Analysis is the deep link between Markov processes and partial differential equations, which can be used to characterize a diffusion process in terms of its infinitesimal generator [69].

Connotation