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5. Functional Ito calculus and Path-dependent Partial Differential Equations

Functional Ito calculus and Path-dependent Partial Differential Equations

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：itolbaxk

【摘 要】

：

　　The Functional Ito calculus is a non-anticipative functional calculus which extends the Ito calculus to path-dependent functionals of stochastic processes.

【作 者】

：

CONT Rama 

【机 构】

：

Imperial College London

【出 处】

：

第八届工业与应用数学国际大会

【发表日期】

：

2015年期

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论文部分内容阅读

　　The Functional Ito calculus is a non-anticipative functional calculus which extends the Ito calculus to path-dependent functionals of stochastic processes.

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