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Stochastic Integration in Banach Spaces

Vidyadhar Mandrekar - Personal Name; Barbara Rüdiger - Personal Name;

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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Detail Information
Series Title
-
Call Number
-
Publisher
Cham : Springer., 2015
Collation
-
Language
English
ISBN/ISSN
978-3-319-12853-5
Classification
NONE
Content Type
text
Media Type
computer
Carrier Type
online resource
Edition
-
Subject(s)
Mathematics
Specific Detail Info
-
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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  • Stochastic Integration in Banach Spaces
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