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Stochastic Integration in Banach Spaces - Theory and Applications (Paperback, Softcover reprint of the original 1st ed. 2015)
Loot Price: R3,073
Discovery Miles 30 730
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Stochastic Integration in Banach Spaces - Theory and Applications (Paperback, Softcover reprint of the original 1st ed. 2015)
Series: Probability Theory and Stochastic Modelling, 73
Expected to ship within 10 - 15 working days
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Considering Poisson random measures as the driving sources for
stochastic (partial) differential equations allows us to
incorporate jumps and to model sudden, unexpected phenomena. By
using such equations the present book introduces a new method for
modeling the states of complex systems perturbed by random sources
over time, such as interest rates in financial markets or
temperature distributions in a specific region. It studies
properties of the solutions of the stochastic equations, observing
the long-term behavior and the sensitivity of the solutions to
changes in the initial data. The authors consider an integration
theory of measurable and adapted processes in appropriate Banach
spaces as well as the non-Gaussian case, whereas most of the
literature only focuses on predictable settings in Hilbert spaces.
The book is intended for graduate students and researchers in
stochastic (partial) differential equations, mathematical finance
and non-linear filtering and assumes a knowledge of the required
integration theory, existence and uniqueness results and stability
theory. The results will be of particular interest to natural
scientists and the finance community. Readers should ideally be
familiar with stochastic processes and probability theory in
general, as well as functional analysis and in particular the
theory of operator semigroups.
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