Stochastic calculus in Banach spaces
The paper is devoted to the construction of stochastic calculus for integrals over martingales measures, including It\^{o}, Stratonovich and Skorokhod integrals. We also study multiplicative operator functionals (MOF) in Banach spaces which are a generalization of random evolutions (RE) [2]. One of the results includes Dynkin's formula for MOF. Boundary values problems for RE in Banach spaces are investigated as well. Applications are given to the random evolutions.
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Produktdetails
- ISBN: 978-3-639-66499-7
- EAN: 9783639664997
- Produktnummer: 37626253
- Verlag: Scholars' Press
- Sprache: Englisch
- Erscheinungsjahr: 2014
- Seitenangabe: 52 S.
- Masse: H22.0 cm x B15.0 cm x D0.3 cm 96 g
- Abbildungen: Paperback
- Gewicht: 96
Über den Autor
Anatoliy Swishchuk is a Professor of mathematical finance at the University of Calgary, Canada. His research interests include modelling and pricing swaps, weather and energy derivatives, option pricing, regime-switching models, random evolutions and their applications. He is the author of many research papers and 10 books.
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