Stochastic integration in Banach spaces [electronic resource] : theory and applications / Vidyadhar Mandrekar, Barbara Rüdiger.
2015
QA322.2
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Title
Stochastic integration in Banach spaces [electronic resource] : theory and applications / Vidyadhar Mandrekar, Barbara Rüdiger.
ISBN
9783319128535 electronic book
3319128531 electronic book
9783319128528
3319128523
3319128531 electronic book
9783319128528
3319128523
Published
Cham [Switzerland] : Springer, [2015]
Language
English
Description
1 online resource.
Item Number
10.1007/978-3-319-12853-5 doi
Call Number
QA322.2
Dewey Decimal Classification
515.732
Summary
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.
Bibliography, etc. Note
Includes bibliographical references and index.
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Added Author
Rüdiger, Barbara, author.
Series
Probability theory and stochastic modelling ; volume 73.
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Print version: 9783319128528
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Table of Contents
1.Introduction
2.Preliminaries
3.Stochastic Integrals with Respect to Compensated Poisson Random Measures
4.Stochastic Integral Equations in Banach Spaces
5.Stochastic Partial Differential Equations in Hilbert Spaces
6.Applications
7.Stability Theory for Stochastic Semilinear Equations
A
Some Results on compensated Poisson random measures and stochastic integrals
References.- Index.
2.Preliminaries
3.Stochastic Integrals with Respect to Compensated Poisson Random Measures
4.Stochastic Integral Equations in Banach Spaces
5.Stochastic Partial Differential Equations in Hilbert Spaces
6.Applications
7.Stability Theory for Stochastic Semilinear Equations
A
Some Results on compensated Poisson random measures and stochastic integrals
References.- Index.