Stochastic Calculus via Regularizations (Bocconi & Springer Series, 11) free ebook download.

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Stochastic Calculus via Regularizations (Bocconi & Springer Series, 11) free ebook download

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Author(s):	Francesco Russo

Date:	2021	Format:	pdf	Language:	English	ISBN/ASIN:	303109445X
Pages:	669	OCR:		Quality:		ISBN13:
Uploader:	risotor	Upload Date:	11/21/2022 12:49:52 PM

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The 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 It 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.

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Tags: Bocconi Calculus Regularizations Springer Stochastic

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