General Stochastic Measures (eBook)

Integration, Path Properties and Equations

Vadym M. Radchenko (Autor)

eBook Download: EPUB

2022 | 1. Auflage
272 Seiten
John Wiley & Sons (Verlag)
978-1-394-16392-2 (ISBN)

Infos

This book is devoted to the study of stochastic measures (SMs). An SM is a sigma-additive in probability random function, defined on a sigma-algebra of sets. SMs can be generated by the increments of random processes from many important classes such as square-integrable martingales and fractional Brownian motion, as well as alpha-stable processes. SMs include many well-known stochastic integrators as partial cases.

General Stochastic Measures provides a comprehensive theoretical overview of SMs, including the basic properties of the integrals of real functions with respect to SMs. A number of results concerning the Besov regularity of SMs are presented, along with equations driven by SMs, types of solution approximation and the averaging principle. Integrals in the Hilbert space and symmetric integrals of random functions are also addressed.
The results from this book are applicable to a wide range of stochastic processes, making it a useful reference text for researchers and postgraduate or postdoctoral students who specialize in stochastic analysis.

Autor

Vadym M. Radchenko is Full Professor in the Department of Mathematical Analysis at Taras Shevchenko National University of Kyiv, Ukraine. His research interests include stochastic integration and stochastic partial differential equations.

Inhalt

1. Integration with Respect to Stochastic Measures.
2. Path Properties of Stochastic Measures.
3. Equations Driven by Stochastic Measures.
4. Approximation of Solutions of the Equations.
5. Integration and Evolution Equations in Hilbert Spaces.
6. Symmetric Integrals.
7. Averaging Principle.
8. Solutions to Exercises.

Produkt-Details

• Erscheint lt. Verlag: 23.8.2022
• Sprache: englisch
• Themenwelt: Mathematik / Informatik ► Mathematik ► Statistik
• Themenwelt: Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik
• Schlagworte: Angewandte Wahrscheinlichkeitsrechnung u. Statistik • Applied Probability & Statistics • Mathematical Analysis • Mathematics • Mathematik • Mathematische Analyse • Probability & Mathematical Statistics • Statistics • Statistik • Stochastik • Wahrscheinlichkeitsrechnung • Wahrscheinlichkeitsrechnung u. mathematische Statistik
• ISBN-10: 1-394-16392-4 / 1394163924
• ISBN-13: 978-1-394-16392-2 / 9781394163922