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E-raamat: Seminar on Stochastic Analysis, Random Fields and Applications V: Centro Stefano Franscini, Ascona, May 2005

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  • Formaat: PDF+DRM
  • Sari: Progress in Probability 59
  • Ilmumisaeg: 12-Mar-2008
  • Kirjastus: Birkhauser Verlag AG
  • Keel: eng
  • ISBN-13: 9783764384586
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Seminar on Stochastic Analysis, Random Fields and Applications V: Centro Stefano Franscini, Ascona, May 2005Suurem pilt
  • Formaat: PDF+DRM
  • Sari: Progress in Probability 59
  • Ilmumisaeg: 12-Mar-2008
  • Kirjastus: Birkhauser Verlag AG
  • Keel: eng
  • ISBN-13: 9783764384586
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This volume contains refereed research or review papers presented at the 5th Seminar on Stochastic Processes, Random Fields and Applications, which took place at the Centro Stefano Franscini (Monte Verita) in Ascona, Switzerland, from May 29 to June 3, 2004. The seminar focused mainly on stochastic partial differential equations, stochastic models in mathematical physics, and financial engineering.
Preface ix
List of participants
xi
Stochastic Analysis and Random Fields
Detection of Dynamical Systems from Noisy Multivariate Time Series
3(16)
Y. Asai
A.E.P. Villa
A Bakry-Emery Criterion for Self-interacting Diffusions
19(4)
M. Benaim
O. Raimond
Stationary Solutions for the 2D Stochastic Dissipative Euler Equation
23(14)
H. Bessaih
Volterra Equations Perturbed by a Gaussian Noise
37(20)
S. Bonaccorsi
Dirichlet Forms Methods: An Application to the Propagation of the Error Due to the Euler Scheme
57(18)
N. Bouleau
Individual-Based Probabilistic Models of Adaptive Evolution and Various Scaling Approximations
75(40)
N. Champagnat
R. Ferriere
S. Meleard
A Note on Evolution Systems of Measures for Time-dependent Stochastic Differential Equations
115(8)
G. Da Prato
M. Rockner
Remarks on 3D Stochastic Navier--Stokes Equations
123(12)
F. Flandoli
Slices of a Brownian Sheet: New Results and Open Problems
135(40)
D. Khoshnevisan
An Estimate of the Convergence Rate in Diffusion Approximation of a Particle Motion under Random Forcing
175(22)
T. Komorowski
Long-Time Behaviour for the Brownian Heat Kernel on a Compact Riemannian Manifold and Bismut's Integration-by-Parts Formula
197(6)
R. Leandre
Probabilistic Deformation of Contact Geometry, Diffusion Processes and Their Quadratures
203(24)
P. Lescot
J.-C. Zambrini
Approximation of Stochastic Differential Equations Driven by Fractional Brownian Motion
227(16)
H. Lisei
A. Sods
Critical Exponents for Semilinear PDEs with Bounded Potentials
243(18)
J.A. Lopez-Mimbela
N. Privault
Generalized Ornstein--Uhlenbeck Processes on Separable Banach Spaces
261(14)
V. Mandrekar
B. Rudiger
Approximation of Rough Paths of Fractional Brownian Motion
275(30)
A. Millet
M. Sanz-Sole
A One-Dimensional Analysis of Singularities and Turbulence for the Stochastic Burgers Equation in d Dimensions
305(26)
A.D. Neate
A. Truman
Attractors for Ergodic and Monotone Random Dynamical Systems
331(14)
M. Scheutzow
On the Stability of Feynman--Kac Propagators
345(18)
W. Stannat
Some Applications of the Malliavin Calculus to Sub-Gaussian and Non-Sub-Gaussian Random Fields
363(34)
A.B. Vizcarra
F.G. Viens
Nonlinear Markovian Problems in Large Dimensions
397(14)
B. Zegarlinski
Stochastic Methods in Financial Models
A Tychastic Approach to Guaranteed Pricing and Management of Portfolios under Transaction Constraints
411(24)
J.-P. Aubin
P. Saint-Pierre
Numerical Aspects of Loan Portfolio Optimization
435(10)
C. Becker
V. Orlovius
An Orlicz Spaces Duality for Utility Maximization in Incomplete Markets
445(12)
S. Biagini
No Free Lunch under Transaction Costs for Continuous Processes
457(12)
P. Guasoni
Robustness of the Hobson-Rogers Model with Respect to the Offset Function
469(24)
V.B. Hallulli
T. Vargiolu
PDE Approach to Utility Maximization for Market Models with Hidden Markov Factors
493(14)
H. Nagai
W.J. Runggaldier
Generalizations of Merton's Mutual Fund Theorem in Infinite-Dimensional Financial Models
507
M. Pratelli
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