1. Stochastic integration by parts and functional itô calculus
- Author
-
Bally, V, Caramellino, L, Cont, R, Utzet, F, Vives, J, Utzet, F, Vives, J, Laboratoire de Probabilités et Modèles Aléatoires (LPMA), Université Pierre et Marie Curie - Paris 6 (UPMC)-Université Paris Diderot - Paris 7 (UPD7)-Centre National de la Recherche Scientifique (CNRS), and Benassù, Serena
- Subjects
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR] ,010104 statistics & probability ,[MATH.MATH-PR] Mathematics [math]/Probability [math.PR] ,010102 general mathematics ,0101 mathematics ,01 natural sciences ,Settore MAT/06 - Probabilita' e Statistica Matematica - Abstract
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.
- Published
- 2019