001451283 000__ 03033cam\a2200469\a\4500
001451283 001__ 1451283
001451283 003__ OCoLC
001451283 005__ 20230310004652.0
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001451283 008__ 221117s2022\\\\sz\\\\\\ob\\\\001\0\eng\d
001451283 019__ $$a1351200908
001451283 020__ $$a9783031094460$$q(electronic bk.)
001451283 020__ $$a3031094468$$q(electronic bk.)
001451283 020__ $$z303109445X
001451283 020__ $$z9783031094453
001451283 0247_ $$a10.1007/978-3-031-09446-0$$2doi
001451283 035__ $$aSP(OCoLC)1350862582
001451283 040__ $$aYDX$$beng$$cYDX$$dGW5XE$$dEBLCP$$dOCLCF$$dUKAHL$$dOCLCQ
001451283 049__ $$aISEA
001451283 050_4 $$aQA274.2
001451283 08204 $$a519.2/2$$223/eng/20221129
001451283 1001_ $$aRusso, Francesco,$$d1959-
001451283 24510 $$aStochastic calculus via regularizations /$$cFrancesco Russo, Pierre Vallois.
001451283 260__ $$aCham, Switzerland :$$bSpringer,$$c2022.
001451283 300__ $$a1 online resource.
001451283 4901_ $$aBocconi & Springer series ;$$vv. 11
001451283 504__ $$aIncludes bibliographical references and index.
001451283 506__ $$aAccess limited to authorized users.
001451283 520__ $$aThe book constitutes an introduction to stochastic calculus, stochastic differential equations and related topics such as Malliavin calculus. On the other hand it focuses on the techniques of stochastic integration and calculus via regularization initiated by the authors. The definitions relies on a smoothing procedure of the integrator process, they generalize the usual Ito and Stratonovich integrals for Brownian motion but the integrator could also not be a semimartingale and the integrand is allowed to be anticipating. The resulting calculus requires a simple formalism: nevertheless it entails pathwise techniques even though it takes into account randomness. It allows connecting different types of pathwise and non pathwise integrals such as Young, fractional, Skorohod integrals, enlargement of filtration and rough paths. The covariation, but also high order variations, play a fundamental role in the calculus via regularization, which can also be applied for irregular integrators. A large class of Gaussian processes, various generalizations of semimartingales such that Dirichlet and weak Dirichlet processes are revisited. Stochastic calculus via regularization has been successfully used in applications, for instance in robust finance and on modeling vortex filaments in turbulence. The book is addressed to PhD students and researchers in stochastic analysis and applications to various fields.
001451283 588__ $$aOnline resource; title from PDF title page (SpringerLink, viewed November 29, 2022).
001451283 650_0 $$aStochastic analysis.
001451283 655_0 $$aElectronic books.
001451283 7001_ $$aVallois, Pierre.
001451283 77608 $$iPrint version: $$z303109445X$$z9783031094453$$w(OCoLC)1322368576
001451283 830_0 $$aBocconi & Springer series ;$$v11.
001451283 852__ $$bebk
001451283 85640 $$3Springer Nature$$uhttps://univsouthin.idm.oclc.org/login?url=https://link.springer.com/10.1007/978-3-031-09446-0$$zOnline Access$$91397441.1
001451283 909CO $$ooai:library.usi.edu:1451283$$pGLOBAL_SET
001451283 980__ $$aBIB
001451283 980__ $$aEBOOK
001451283 982__ $$aEbook
001451283 983__ $$aOnline
001451283 994__ $$a92$$bISE