Anatoliy Swishchuk

Broschiertes Buch

Stochastic calculus in Banach spaces

Beschreibung

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.

Autor

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.

Produktdetails

• Verlag: Scholar's Press
• Seitenzahl: 52
• Erscheinungstermin: 16. September 2014
• Englisch
• Abmessung: 220mm x 150mm x 4mm
• Gewicht: 96g
• ISBN-13: 9783639664997
• ISBN-10: 363966499X
• Artikelnr.: 41596660