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Seminar on Stochastic Analysis, Random Fields and Applications VI: Centro Stefano Franscini, Ascona, May 2008 [Kõva köide]

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  • Formaat: Hardback, 492 pages, kõrgus x laius: 235x155 mm, kaal: 916 g, XII, 492 p., 1 Hardback
  • Sari: Progress in Probability 63
  • Ilmumisaeg: 23-Mar-2011
  • Kirjastus: Birkhauser Verlag AG
  • ISBN-10: 3034800207
  • ISBN-13: 9783034800204
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  • Formaat: Hardback, 492 pages, kõrgus x laius: 235x155 mm, kaal: 916 g, XII, 492 p., 1 Hardback
  • Sari: Progress in Probability 63
  • Ilmumisaeg: 23-Mar-2011
  • Kirjastus: Birkhauser Verlag AG
  • ISBN-10: 3034800207
  • ISBN-13: 9783034800204
Teised raamatud teemal:
This volume contains refereed research or review papers presented at the 6th Seminar on Stochastic Processes, Random Fields and Applications, which took place at the Centro Stefano Franscini (Monte Verità) in Ascona, Switzerland, in May 2008. The seminar focused mainly on stochastic partial differential equations, especially large deviations and control problems, on infinite dimensional analysis, particle systems and financial engineering, especially energy markets and climate models.

The book will be a valuable resource for researchers in stochastic analysis and professionals interested in stochastic methods in finance.
Preface vii
List of Participants
ix
Stochastic Analysis and Random Fields
The Trace Formula for the Heat Semigroup with Polynomial Potential
3(20)
S. Albeverio
S. Mazzucchi
Existence Results for Fokker-Planck Equations in Hilbert Spaces
23(14)
V. Bogachev
G. Da Prato
M. Rockner
Uniqueness in Law of the Ito Integral with Respect to Levy Noise
37(22)
Z. Brzezniak
E. Hausenblas
Statistical Inference and Malliavin Calculus
59(24)
J.M. Corcuera
A. Kohatsu-Higa
Hydrodynamics, Probability and the Geometry of the Diffeomorphisms Group
83(12)
A.B. Cruzeiro
On Stochastic Ergodic Control in Infinite Dimensions
95(14)
B. Goldys
B. Maslowski
Yet Another Look at Harris' Ergodic Theorem for Markov Chains
109(10)
M. Hairer
J.C. Mattingly
Old and New Examples of Scale Functions for Spectrally Negative Levy Processes
119(28)
F. Hubalek
E. Kyprianou
A Visual Criterion for Identifying Ito Diffusions as Martingales or Strict Local Martingales
147(12)
H. Hulley
E. Platen
Are Fractional Brownian Motions Predictable?
159(8)
A. Jakubowski
Control of Exit Time for Lagrangian Systems with Weak Noise
167(10)
A. Kovaleva
A Probabilistic Deformation of Calculus of Variations with Constraints
177(14)
C. Leonard
J.-C. Zambrini
Exponential Integrability and DLR Consistence of Some Rough Functionals
191(18)
J. Lorinczi
A Family of Series Representations of the Multiparameter Fractional Brownian Motion
209(18)
A. Malyarenko
The Martingale Problem for Markov Solutions to the Navier-Stokes Equations
227(18)
M. Romito
Functional Inequalities for the Wasserstein Dirichlet Form
245(16)
W. Stannat
Entropic Measure on Multidimensional Spaces
261(18)
K.-T. Sturm
Properties of Strong Local Nondeterminism and Local Times of Stable Random Fields
279(32)
Y. Xiao
Stochastic Methods in Financial Models
Hedging with Residual Risk: A BSDE Approach
311(16)
S. Ankirchner
P. Imkeller
Auto-tail Dependence Coefficients for Stationary Solutions of Linear Stochastic Recurrence Equations and for GARCH(1,1)
327(14)
R. Brummelhuis
The Clean Development Mechanism and Joint Price Formation for Allowances and CERs
341(44)
R. Carmona
M. Fehr
Optimal Investment Problems with Marked Point Processes
385(28)
C. Ceci
Doubly Stochastic CDO Term Structures
413(16)
D. Filipovic
L. Overbeck
T. Schmidt
A Framework for Dynamic Hedging under Convex Risk Measures
429(24)
A. Toussaint
R. Sircar
On the Stability of Prices of Contingent Claims in Incomplete Models Under Statistical Estimations
453(20)
L. Vostrikova
Analyzing the Fine Structure of Continuous Time Stochastic Processes
473
J.H.C. Woerner