In this work we introduce a theory of stochastic integration for operator-valued integrands with respect to some classes of cylindrical martingale-valued measures in Hilbert spaces. The integral is constructed via the ...

In this work we introduce a theory of stochastic integration with respect to general cylindrical semimartingales defined on a locally convex space Φ. Our construction of the stochastic integral is based on the theory of ...

The paper proposes a general model for pricing of derivative securities. The underlying dynamics follows stochastic equations involving anticipative stochastic integrals. These equations are solved explicitly and structural ...

In this work, the performance of Locally Linearized integrators for the numerical simulation of stochastic oscillators driven by random forces is studied. This includes the reproduction of a number of dynamical properties ...

We propose a new numerical method for the computer simulation of the semi-linear transport equation. Based on the stochastic characteristic method and the Local Linearization technique, we construct an effi cient and stable ...

We apply the formalism of functional integration to the calculation of the transfer function of a stochastic scattering channel formed by stationary, non-interacting point scatterers. The channel is described through a ...