Operator Methods, Abelian Processes And Dynamic Conditioning
Source: Munich Personal Repec Archive
A mathematical framework for Continuous Time Finance based on operator algebraic methods offers a new direct and entirely constructive perspective on the field. It also leads to new numerical analysis techniques which can take advantage of the emerging massively parallel GPU architectures which are uniquely suited to execute large matrix manipulations. This is partly a review paper as it covers and expands on the mathematical framework underlying a series of more applied articles. In addition, this paper also presents a few key new theorems that make the treatment self-contained. Stochastic processes with continuous time and continuous space variables are defined constructively by establishing new convergence estimates for Markov chains on simplicial sequences.