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Normalized stochastic integrals in topological vector spaces · Study

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ChapterNormalized stochastic integrals in topological vector spaces

R. Mikulevíčius1998

Chapter1998

Normalized stochastic integrals in topological vector spaces

R. Mikulevíčius · Boris L. Rozovskii

72 citations·0/0 files stored·Lecture notes in mathematics

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Stochastic processes and financial applications Advanced Banach Space Theory Mathematical and Theoretical Analysis

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References

2006An introduction to stochastic partial differential equations 2006Stochastic Differential Equations 1998Stochastic Flows and Stochastic Differential Equations 1979Calcul Stochastique et Problèmes de Martingales 1972Stochastic Differential Equations 1980On stochastic equations with respect to semimartingales I.†1982On stochastics equations with respect to semimartingales ii. itô formula in banach spaces 1999Martingale problems for stochastic PDE’s

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2004Stochastic integration with respect to compensated Poisson random measures on separable Banach spaces 2004On the use of measure-valued strategies in bond markets 2005Stochastic Integrals and the Lévy–Ito Decomposition Theorem on Separable Banach Spaces 2004A note on completeness in large financial markets 2005Super-replication and utility maximization in large financial markets 2010ON INCOMPLETENESS OF BOND MARKETS WITH INFINITE NUMBER OF RANDOM FACTORS

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Year1998

Typechapter

Published1998-01-01

VenueLecture notes in mathematics

ISSN-L0075-8434

Languageen

Citations72

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/bfb0101756

openalex_workW26529476

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2003A predictable decomposition in an infinite assets model with jumps. Application to hedging and optimal investment

2006Itô formula for stochastic integrals w.r.t. compensated Poisson random measures on separable Banach spaces