Admissibility of Stochastic Linear Volterra Operators


Marketed By :  LAP LAMBERT Academic Publishing   Sold By :  Kamal Books International  
Delivery in :  10-12 Business Days

₹ 5,886

Availability: Out of stock


Delivery :

5% Cashback on all Orders paid using MobiKwik Wallet T&C

Free Krispy Kreme Voucher on all Orders paid using UltraCash Wallet T&C
Product Out of Stock Subscription

(Notify me when this product is back in stock)

  • Product Description

This work examines the long run behaviour of both differential and difference, deterministic and stochastic linear Volterra equations. It is shown how observable phenomena in inefficient financial markets may be present in the solutions of stochastic functional differential equations. Firstly, we consider a stationary autoregressive conditional heteroskedastic (ARCH) process of order infinity. Necessary and sufficient conditions are established for the autocovariance function to lie in a particular class of slowly decaying sequences. Secondly, an admissibility theory of stochastic Volterra operators is developed which characterises sufficient conditions for almost sure convergence of stochastic Volterra integrals. This theory is applied to find the exact asymptotic behaviour of the solutions of a class of affine stochastic Volterra equations. Lastly the exact asymptotic behaviour of a stochastic differential equation with an average functional is determined for all real values of the parameters of the equation. This equation may be viewed as modelling the demand of traders in an inefficient financial market. A discretisation of this stochastic differential equation is also studied.

Product Specifications
SKU :COC24879
Country of ManufactureIndia
Product BrandLAP LAMBERT Academic Publishing
Product Packaging InfoBox
In The Box1 Piece
Product First Available On ClickOnCare.com2015-07-28
0 Review(s)