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Functional Analysis Valencia 2000
July 3-7, 2000
Technical University of Valencia (UPV) and University of Valencia (UV)
Valencia, Spain

Organizers
R.M. Aron (Kent State U., USA), K.D. Bierstedt (U. Paderborn, Germany), J. Bonet (UPV), J. Cerdà (U. Barcelona, Spain), H. Jarchow (U. Zürich, Switzerland), M. Maestre (UV), J. Schmets (U. Liège, Belgium)

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Averaged Evolution on a Markov Background
by
Vadim Adamyan
Odessa State University, Odessa, Ukraine
Coauthors: Boris Pavlov (University of Auckland, NZ)

It is well-known that evolution operators, generators of which switch stochastically on a Markov background between some densely defined closed operators, after averaging over all possible scenarios of evolution become a deterministic semigroup in the properly extended space of states. Under certain assumptions we investigate spectral properties of the block operator matrices arising as generators of the semigroup of averaged evolution and the semigroup defining the variance of the averaged evolution and apply the obtained results for estimation of errors in valuation of financial derivatives because of floating interest rates and asset volatilities.

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Date received: April 14, 2000

Copyright © 2000 by the author(s). The author(s) of this document and the organizers of the conference have granted their consent to include this abstract in Atlas Conferences Inc. Document # caey-48.