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John A. Daniels

Admissibility of Stochastic Linear Volterra Operators

with Applications to Inefficient Financial Markets

Buch

This work examines the long run behaviour of both differential and difference, deterministic and stochastic linear Volterra equations. It is shown how observable phenomena in inefficient financial markets may be present in the solutions of stochastic functional differential equations. Firstly, we consider a stationary autoregressive conditional heteroskedastic (ARCH) process of order infinity. Necessary and sufficient conditions are established for the autocovariance function to lie in a particular class of slowly decaying sequences. Secondly, an admissibility theory of stochastic Volterra operators is developed which characterises sufficient… Mehr

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Produktdetails


Weitere Autoren: Appleby, John A. D.
  • ISBN: 978-3-659-26473-3
  • EAN: 9783659264733
  • Produktnummer: 37745502
  • Verlag: LAP Lambert Academic Publishing
  • Sprache: Englisch
  • Erscheinungsjahr: 2012
  • Seitenangabe: 300 S.
  • Masse: H22.0 cm x B15.0 cm x D1.8 cm 465 g
  • Abbildungen: Paperback
  • Gewicht: 465

Über den Autor


John Daniels graduated with a PhD in Mathematics from Dublin City University after completing a first class honours degree in Financial and Actuarial Mathematics, also at DCU. John Appleby is a senior lecturer in Mathematics at DCU. He has more than 80 peer-reviewed papers in the area of stochastic and deterministic analysis.

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