Stochastic Integration by Parts and Functional Itô Calculus

• Main Authors: Bally, Vlad (Author), Caramellino, Lucia (Author), Cont, Rama (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Cham : Springer International Publishing : Imprint: Birkhäuser, 2016.
• Series: Advanced Courses in Mathematics - CRM Barcelona,
• Subjects: Mathematics.; Differential equations.; Partial differential equations.; Probabilities.; Probability Theory and Stochastic Processes.; Ordinary Differential Equations.; Partial Differential Equations.

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...