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Author: Nicolae Dinculeanu Publisher: John Wiley & Sons ISBN: 1118031261 Category : Mathematics Languages : en Pages : 446
Book Description
A breakthrough approach to the theory and applications of stochastic integration The theory of stochastic integration has become an intensely studied topic in recent years, owing to its extraordinarily successful application to financial mathematics, stochastic differential equations, and more. This book features a new measure theoretic approach to stochastic integration, opening up the field for researchers in measure and integration theory, functional analysis, probability theory, and stochastic processes. World-famous expert on vector and stochastic integration in Banach spaces Nicolae Dinculeanu compiles and consolidates information from disparate journal articles-including his own results-presenting a comprehensive, up-to-date treatment of the theory in two major parts. He first develops a general integration theory, discussing vector integration with respect to measures with finite semivariation, then applies the theory to stochastic integration in Banach spaces. Vector Integration and Stochastic Integration in Banach Spaces goes far beyond the typical treatment of the scalar case given in other books on the subject. Along with such applications of the vector integration as the Reisz representation theorem and the Stieltjes integral for functions of one or two variables with finite semivariation, it explores the emergence of new classes of summable processes that make applications possible, including square integrable martingales in Hilbert spaces and processes with integrable variation or integrable semivariation in Banach spaces. Numerous references to existing results supplement this exciting, breakthrough work.
Author: Nicolae Dinculeanu Publisher: John Wiley & Sons ISBN: 1118031261 Category : Mathematics Languages : en Pages : 446
Book Description
A breakthrough approach to the theory and applications of stochastic integration The theory of stochastic integration has become an intensely studied topic in recent years, owing to its extraordinarily successful application to financial mathematics, stochastic differential equations, and more. This book features a new measure theoretic approach to stochastic integration, opening up the field for researchers in measure and integration theory, functional analysis, probability theory, and stochastic processes. World-famous expert on vector and stochastic integration in Banach spaces Nicolae Dinculeanu compiles and consolidates information from disparate journal articles-including his own results-presenting a comprehensive, up-to-date treatment of the theory in two major parts. He first develops a general integration theory, discussing vector integration with respect to measures with finite semivariation, then applies the theory to stochastic integration in Banach spaces. Vector Integration and Stochastic Integration in Banach Spaces goes far beyond the typical treatment of the scalar case given in other books on the subject. Along with such applications of the vector integration as the Reisz representation theorem and the Stieltjes integral for functions of one or two variables with finite semivariation, it explores the emergence of new classes of summable processes that make applications possible, including square integrable martingales in Hilbert spaces and processes with integrable variation or integrable semivariation in Banach spaces. Numerous references to existing results supplement this exciting, breakthrough work.
Author: Nicolae Dinculeanu Publisher: John Wiley & Sons ISBN: 9780471377382 Category : Mathematics Languages : en Pages : 482
Book Description
A breakthrough approach to the theory and applications of stochastic integration The theory of stochastic integration has become an intensely studied topic in recent years, owing to its extraordinarily successful application to financial mathematics, stochastic differential equations, and more. This book features a new measure theoretic approach to stochastic integration, opening up the field for researchers in measure and integration theory, functional analysis, probability theory, and stochastic processes. World-famous expert on vector and stochastic integration in Banach spaces Nicolae Dinculeanu compiles and consolidates information from disparate journal articles-including his own results-presenting a comprehensive, up-to-date treatment of the theory in two major parts. He first develops a general integration theory, discussing vector integration with respect to measures with finite semivariation, then applies the theory to stochastic integration in Banach spaces. Vector Integration and Stochastic Integration in Banach Spaces goes far beyond the typical treatment of the scalar case given in other books on the subject. Along with such applications of the vector integration as the Reisz representation theorem and the Stieltjes integral for functions of one or two variables with finite semivariation, it explores the emergence of new classes of summable processes that make applications possible, including square integrable martingales in Hilbert spaces and processes with integrable variation or integrable semivariation in Banach spaces. Numerous references to existing results supplement this exciting, breakthrough work.
Author: Yuichiro Kakihara Publisher: World Scientific ISBN: 9811211760 Category : Mathematics Languages : en Pages : 539
Book Description
This is a development of the book entitled Multidimensional Second Order Stochastic Processes. It provides a research expository treatment of infinite-dimensional stationary and nonstationary stochastic processes or time series, based on Hilbert and Banach space-valued second order random variables. Stochastic measures and scalar or operator bimeasures are fully discussed to develop integral representations of various classes of nonstationary processes such as harmonizable, V-bounded, Cramér and Karhunen classes as well as the stationary class. A new type of the Radon-Nikodým derivative of a Banach space-valued measure is introduced, together with Schauder basic measures, to study uniformly bounded linearly stationary processes.Emphasis is on the use of functional analysis and harmonic analysis as well as probability theory. Applications are made from the probabilistic and statistical points of view to prediction problems, Kalman filter, sampling theorems and strong laws of large numbers. Generalizations are made to consider Banach space-valued stochastic processes to include processes of pth order for p ≥ 1. Readers may find that the covariance kernel is always emphasized and reveals another aspect of stochastic processes.This book is intended not only for probabilists and statisticians, but also for functional analysts and communication engineers.
Author: E. Pap Publisher: Elsevier ISBN: 0080533094 Category : Mathematics Languages : en Pages : 1633
Book Description
The main goal of this Handbook isto survey measure theory with its many different branches and itsrelations with other areas of mathematics. Mostly aggregating many classical branches of measure theory the aim of the Handbook is also to cover new fields, approaches and applications whichsupport the idea of "measure" in a wider sense, e.g. the ninth part of the Handbook. Although chapters are written of surveys in the variousareas they contain many special topics and challengingproblems valuable for experts and rich sources of inspiration.Mathematicians from other areas as well as physicists, computerscientists, engineers and econometrists will find useful results andpowerful methods for their research. The reader may find in theHandbook many close relations to other mathematical areas: realanalysis, probability theory, statistics, ergodic theory,functional analysis, potential theory, topology, set theory,geometry, differential equations, optimization, variationalanalysis, decision making and others. The Handbook is a richsource of relevant references to articles, books and lecturenotes and it contains for the reader's convenience an extensivesubject and author index.
Author: Sophie Dabo-Niang Publisher: Springer Science & Business Media ISBN: 3790820628 Category : Mathematics Languages : en Pages : 296
Book Description
An increasing number of statistical problems and methods involve infinite-dimensional aspects. This is due to the progress of technologies which allow us to store more and more information while modern instruments are able to collect data much more effectively due to their increasingly sophisticated design. This evolution directly concerns statisticians, who have to propose new methodologies while taking into account such high-dimensional data (e.g. continuous processes, functional data, etc.). The numerous applications (micro-arrays, paleo- ecological data, radar waveforms, spectrometric curves, speech recognition, continuous time series, 3-D images, etc.) in various fields (biology, econometrics, environmetrics, the food industry, medical sciences, paper industry, etc.) make researching this statistical topic very worthwhile. This book gathers important contributions on the functional and operatorial statistics fields.
Author: Thiruvaiyaru V. Panchapagesan Publisher: Springer Science & Business Media ISBN: 3764386029 Category : Mathematics Languages : en Pages : 311
Book Description
This volume is a thorough and comprehensive treatise on vector measures, treating the vectorial Radon integration in detail. It explores an interplay between, on the one side, linear operators, transferring real (complex) functions onto elements of locally convex Hausdorff spaces, and vector-valued measures, on the other. The book contains not only a large amount of new material but also corrects various errors in well-known results available in the literature.
Author: Vidyadhar Mandrekar Publisher: Springer ISBN: 3319128531 Category : Mathematics Languages : en Pages : 213
Book Description
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.
Author: Guillermo Curbera Publisher: Springer Science & Business Media ISBN: 3034602111 Category : Mathematics Languages : en Pages : 382
Book Description
This volume contains a selection of articles on the theme "vector measures, integration and applications" together with some related topics. The articles consist of both survey style and original research papers, are written by experts in thearea and present a succinct account of recent and up-to-date knowledge. The topic is interdisciplinary by nature and involves areas such as measure and integration (scalar, vector and operator-valued), classical and harmonic analysis, operator theory, non-commutative integration, andfunctional analysis. The material is of interest to experts, young researchers and postgraduate students.
Author: Alan C. Krinik Publisher: CRC Press ISBN: 9780203913574 Category : Mathematics Languages : en Pages : 526
Book Description
This extraordinary compilation is an expansion of the recent American Mathematical Society Special Session celebrating M. M. Rao's distinguished career and includes most of the presented papers as well as ancillary contributions from session invitees. This book shows the effectiveness of abstract analysis for solving fundamental problems of stochas
Author: M.M. Rao Publisher: CRC Press ISBN: 1351991485 Category : Mathematics Languages : en Pages : 794
Book Description
Significantly revised and expanded, this authoritative reference/text comprehensively describes concepts in measure theory, classical integration, and generalized Riemann integration of both scalar and vector types-providing a complete and detailed review of every aspect of measure and integration theory using valuable examples, exercises, and applications. With more than 170 references for further investigation of the subject, this Second Edition provides more than 60 pages of new information, as well as a new chapter on nonabsolute integrals contains extended discussions on the four basic results of Banach spaces presents an in-depth analysis of the classical integrations with many applications, including integration of nonmeasurable functions, Lebesgue spaces, and their properties details the basic properties and extensions of the Lebesgue-Carathéodory measure theory, as well as the structure and convergence of real measurable functions covers the Stone isomorphism theorem, the lifting theorem, the Daniell method of integration, and capacity theory Measure Theory and Integration, Second Edition is a valuable reference for all pure and applied mathematicians, statisticians, and mathematical analysts, and an outstanding text for all graduate students in these disciplines.
Author: Nicolae Dinculeanu
Author: Nicolae Dinculeanu
Author: Nicolae Dinculeanu
Author: Yuichiro Kakihara
Author: E. Pap
Author: Sophie Dabo-Niang
Author: Thiruvaiyaru V. Panchapagesan
Author: Vidyadhar Mandrekar
Author: Guillermo Curbera
Author: Alan C. Krinik
Author: M.M. Rao