Set-Valued Stochastic Integrals and Applications. 1st ed. 2020

種類:

電子ブック

責任表示:

by Michał Kisielewicz

出版情報:

Cham : Springer International Publishing : Imprint: Springer, 2020

著者名:

• Kisielewicz, Michał.
• SpringerLink (Online service)

シリーズ名:

Springer Optimization and Its Applications ; 157

ISBN:

9783030403294 [3030403297]    

注記:

Preface -- List of Symbols -- 1. Preliminaries -- 2. Multifunctions -- 3. Decomposable Subsets of the Space Lp(T,F,Mu, X) -- 4. Aumann Stochastic Integrals -- 5. Set-Valued Ito Integrals -- 6. Stochastic Differential Inclusions -- 7. Set-Valued Stochastic Differential Equations and Inclusions -- 8. Stochastic Optimal Control Problems -- 9. Mathematical Finance Problems -- References -- Index.
This book is among the first concise presentations of the set-valued stochastic integration theory as well as its natural applications, as well as the first to contain complex approach theory of set-valued stochastic integrals. Taking particular consideration of set-valued Itô , set-valued stochastic Lebesgue, and stochastic Aumann integrals, the volume is divided into nine parts. It begins with preliminaries of mathematical methods that are then applied in later chapters containing the main results and some of their applications, and contains many new problems. Methods applied in the book are mainly based on functional analysis, theory of probability processes, and theory of set-valued mappings. The volume will appeal to students of mathematics, economics, and engineering, as well as to mathematics professionals interested in applications of the theory of set-valued stochastic integrals.

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