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Stochastic Integration by Parts and Functional Itô Calculus

The notes of the course by Vlad Bally are co-authored with her collaborator Lucia Caramellino. They develop integration by parts formulas in an abstract
setting, extending Malliavin’s work on abstract Wiener spaces, and thereby being
applicable to prove absolute continuity for a broad class of random vectors. Properties like regularity of the density, estimates of the tails, and approximation of
densities in the total variation norm are considered. The last part of the notes is
devoted to introducing a method to prove existence of density based on interpolation spaces. Examples either not covered by Malliavin’s approach or requiring less
regularity are in the scope of its applications.

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Series Title
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Call Number
-
Publisher
London : Springer.,
Collation
-
Language
English
ISBN/ISSN
978-3-319-27128-6
Classification
NONE
Content Type
text
Media Type
computer
Carrier Type
online resource
Edition
-
Subject(s)
Calculus
Specific Detail Info
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Statement of Responsibility
Other Information
Cataloger
Jemadi
Source
https://link.springer.com/content/pdf/10.1007/978-3-319-27128-6.pdf?pdf=button
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