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Stochastic Evolution Equations in Banach Spaces and Applications to the Heath-Jarrow-Morton-Musiela Equation

kok, Tayfun (2017) Stochastic Evolution Equations in Banach Spaces and Applications to the Heath-Jarrow-Morton-Musiela Equation. PhD thesis, University of York.

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Abstract

The aim of this thesis is threefold. Firstly, we study the stochastic evolution equations (driven by an infinite dimensional cylindrical Wiener process) in a class of Banach spaces satisfying the so-called H-condition. In particular, we deal with the questions of the existence and uniqueness of solutions for such stochastic evolution equations. Moreover, we analyse the Markov property of the solution. Secondly, we apply the abstract results obtained in the first part to the so-called Heath-Jarrow-Morton-Musiela (HJMM) equation. In particular, we prove the existence and uniqueness of solutions to the HJMM equation in a large class of function spaces, such as the weighted Lebesgue and Sobolev spaces. Thirdly, we study the ergodic properties of the solution to the HJMM equation. In particular, we analyse the Markov property of the solution and we find a sufficient condition for the existence and uniqueness of an invariant measure for the Markov semigroup associated to the HJMM equation (when the coefficients are time independent) in the weighted Lebesgue spaces.

Item Type: Thesis (PhD)
Academic Units: The University of York > Mathematics (York)
Depositing User: Mr Tayfun kok
Date Deposited: 07 Sep 2017 09:26
Last Modified: 23 Aug 2018 00:18
URI: http://etheses.whiterose.ac.uk/id/eprint/18070

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