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Stochastic calculus in Banach spaces
ISBN/GTIN

Stochastic calculus in Banach spaces

BookPaperback
Ranking16667inMathematik
CHF62.90

Description

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.
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Details

ISBN/GTIN978-3-639-66499-7
Product TypeBook
BindingPaperback
Publication countryGermany
Publishing date16/09/2014
Pages52 pages
LanguageEnglish
SizeWidth 150 mm, Height 220 mm, Thickness 4 mm
Weight96 g
Article no.20771522
CatalogsBuchzentrum
Data source no.37626253
Product groupMathematik
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Author

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.