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E-raamat: Seminar on Stochastic Analysis, Random Fields and Applications VI: Centro Stefano Franscini, Ascona, May 2008

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  • Formaat: PDF+DRM
  • Sari: Progress in Probability 63
  • Ilmumisaeg: 16-Mar-2011
  • Kirjastus: Birkhauser Verlag AG
  • Keel: eng
  • ISBN-13: 9783034800211
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Seminar on Stochastic Analysis, Random Fields and Applications VI: Centro Stefano Franscini, Ascona, May 2008Suurem pilt
  • Formaat: PDF+DRM
  • Sari: Progress in Probability 63
  • Ilmumisaeg: 16-Mar-2011
  • Kirjastus: Birkhauser Verlag AG
  • Keel: eng
  • ISBN-13: 9783034800211
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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.- List of participants.- I Stochastic Analysis and Random
Fields.- The trace formula for the heat semigroup with polynomial potential.-
Existence results for FokkerPlanck equations in Hilbert spaces.- Uniqueness
in law of the Itô integral with respect to Lévy noise.- Statistical inference
and Malliavin calculus.- Hydrodynamics, probability and the geometry of the
diffeomorphisms group.- On stochastic ergodic control in infinite
dimensions.- Yet another look at Harris ergodic theorem for Markov chains.-
Old and new examples of scale functions for spectrally negative Lévy
processes.- A visual criterion for identifying Itô diffusions as martingales
or strict local martingales.- Are fractional Brownian motions predictable?.-
Control of exit time for Lagrangian systems with weak noise.- A probabilistic
deformation of calculus of variations with constraints.- Exponential
integrability and DLR consistence of some rough functional.- A family of
series representations of the multiparameter fractional Brownian motion.- The
martingale problem for Markov solutions to the Navier-Stokes equations.-
Functional inequalities for the Wasserstein Dirichlet form.- Entropic measure
on multidimensional spaces.- Properties of strong local nondeterminism and
local times of stable random fields.- II Stochastic Methods in Financial
Models.- Hedging with residual risk: a BSDE approach.- Auto-tail dependence
coefficients for stationary solutions of linear stochastic recurrence
equations and for GARCH(1, 1).- The clean development mechanism and joint
price formation for allowances and CERs.- Optimal investment problems with
marked point processes.- Doubly stochastic CDO term structures.- A framework
for dynamic hedging under convex risk measures.- On the stability of prices
of contingent claims in incomplete models under statistical estimations.-
Analyzing the fine structure of continous time stochastic processes.
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