Stochastic Integration in Banach Spaces: Theory and Applications by Vidyadhar MandrekarStochastic Integration in Banach Spaces: Theory and Applications by Vidyadhar Mandrekar

Stochastic Integration in Banach Spaces: Theory and Applications

byVidyadhar Mandrekar, Barbara Rüdiger

Hardcover | December 15, 2014

Pricing and Purchase Info

$114.39 online 
$117.50 list price
Earn 572 plum® points

Prices and offers may vary in store

Quantity:

In stock online

Ships free on orders over $25

Not available in stores

about

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.
Professor Vidyadhar Mandrekar is an expert in stochastic differential equations in infinite dimensional spaces and filtering. In addition he has advised doctoral students in financial mathematics and water flows. He is the first recipient of the Distinguished Faculty Award in the Department of Statistics and Probability at Michigan Sta...
Loading
Title:Stochastic Integration in Banach Spaces: Theory and ApplicationsFormat:HardcoverDimensions:211 pagesPublished:December 15, 2014Publisher:Springer-Verlag/Sci-Tech/TradeLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:3319128523

ISBN - 13:9783319128528

Look for similar items by category:

Reviews

Table of Contents

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.