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Stochastic integration in Banach spa...

Mandrekar, Vidyadhar.

Stochastic integration in Banach spacestheory and applications /

Record Type:	Electronic resources : Monograph/item
Title/Author:	Stochastic integration in Banach spacesby Vidyadhar Mandrekar, Barbara Rudiger.
Reminder of title:	theory and applications /
Author:	Mandrekar, Vidyadhar.
other author:	Rudiger, Barbara.
Published:	Cham :Springer International Publishing :2015.
Description:	viii, 211 p. :ill., digital ;24 cm.
Contained By:	Springer eBooks
Subject:	Banach spaces.
Online resource:	http://dx.doi.org/10.1007/978-3-319-12853-5
ISBN:	9783319128535 (electronic bk.)

Stochastic integration in Banach spacestheory and applications /
Mandrekar, Vidyadhar.

Stochastic integration in Banach spacestheory and applications /[electronic resource] :by Vidyadhar Mandrekar, Barbara Rudiger. - Cham :Springer International Publishing :2015. - viii, 211 p. :ill., digital ;24 cm. - Probability theory and stochastic modelling,v.732199-3130 ;. - Probability theory and stochastic modelling ;v.70..

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.

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.

ISBN: 9783319128535 (electronic bk.)

Standard No.: 10.1007/978-3-319-12853-5doiSubjects--Topical Terms:

199048
Banach spaces.

LC Class. No.: QA322.2

Dewey Class. No.: 515.732

Stochastic integration in Banach spacestheory and applications /
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245 1 0 $a Stochastic integration in Banach spaces $h [electronic resource] : $b theory and applications / $c by Vidyadhar Mandrekar, Barbara Rudiger.
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490 1 $a Probability theory and stochastic modelling, $x 2199-3130 ; $v v.73
505 0 $a 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.
520 $a 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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650 2 4 $a Quantitative Finance. $3 274071
650 2 4 $a Partial Differential Equations. $3 274075
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