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Stochastic Integration in Banach Spaces

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The study of stochastic differential equations (SDEs) driven by Lévy processes in R
originated in the book by Skorokhod [97]. In view of the Lévy–Itô decomposition,
he reduced the problem of studying such SDEs to the analysis of SDEs driven by
compensated Poisson random measures (cPrms) and Brownian motion, under a mild
restriction [97]. He was aware of the fact that the restriction can be removed. Recently,
following initial work of Eberlein and Özkan [27], these SDEs have been found to
arise in finance as term structure models for interest rates, volatility in market indices
[9] and in the study of flows with applications to pseudo-differential equations [16].
The more general SDEs studied in [36] arise in polymer models [24].

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Series Title

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Call Number

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Publisher

Cham : Springer., 2015

Collation

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Language

English

ISBN/ISSN

978-3-319-12853-5

Classification

NONE

Content Type

text

Media Type

computer

Carrier Type

online resource

Edition

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Subject(s)

Mathematics

Specific Detail Info

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Statement of Responsibility

Vidyadhar Mandrekar , Barbara Rüdiger

Other Information

Cataloger

Jemadi

Source

https://link.springer.com/content/pdf/10.1007/978-3-319-12853-5.pdf?pdf=button

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