Stochastic calculus in Banach spaces

Anatoliy Swishchuk

ISBN 10: 363966499X / ISBN 13: 9783639664997

Editore: Scholars' Press Sep 2014, 2014

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Neuware -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.VDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 52 pp. Englisch.

Codice articolo 9783639664997

Dati bibliografici

• Titolo: Stochastic calculus in Banach spaces
• Editore: Scholars' Press Sep 2014
• Data di pubblicazione: 2014
• Lingua: Inglese
• ISBN 10: 363966499X
• ISBN 13: 9783639664997
• Rilegatura: Taschenbuch
• Condizione: Neu

Descrizione articolo

Riassunto

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.

L'autore

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.