Seminar on Stochastic Analysis, Random Fields and Applications: Centro Stefano Franscini, Ascona, 1993

Overview

Pure and applied shastic analysis and random fields form the subject of this book. The collection of articles on these topics represent the state of the art of the research in the field, with particular attention being devoted to shastic models in finance. Some are review articles, others are original papers; taken together, they will apprise the reader of much of the current activity in the area.
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Paperback (Softcover reprint of the original 1st ed. 1995)
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Overview

Pure and applied shastic analysis and random fields form the subject of this book. The collection of articles on these topics represent the state of the art of the research in the field, with particular attention being devoted to shastic models in finance. Some are review articles, others are original papers; taken together, they will apprise the reader of much of the current activity in the area.
Read More Show Less

Product Details

  • ISBN-13: 9783034870283
  • Publisher: Birkhauser Basel
  • Publication date: 11/13/2013
  • Series: Progress in Probability Series , #36
  • Edition description: Softcover reprint of the original 1st ed. 1995
  • Pages: 394
  • Product dimensions: 6.14 (w) x 9.21 (h) x 0.84 (d)

Table of Contents

Propagation of chaos — the inverse problem.- A remark on stachastic dynamics on the infinite-dimensional torus.- Diffusion-approximation for the advection-diffusion of a passive scalar by a space-time Gaussian velocity field.- A new space of white noise distributions and applications to SPDE’s.- Dissipativity of three-dimensional shastic Navier-Stokes equation.- Bernstein diffusions and Euclidean quantum field theory.- A Fubini theorem for generalized Stratonovich integrals.- Large deviations via parameter dependent change of measure, and an application to the lower tail of Gaussian processes.- An equation modelling transport of a substance in a shastic medium.- Shastic representation of unitary quantum evolution.- Critical dimensions for the existence of self-intersection local times of the Brownian sheet in—d.- Density estimates for shastic partial differential equations.- Almost sure convergence of shastic differential equations of jump-diffusion type.- Applications and foundations of quasi sure analysis.- A duality formula on the Poisson space and some applications.- Generalized functions and shastic processes.- On the geometry defined by Dirichlet forms.- Random Brownian scaling and some absolute continuity relationships.- Recent progress in the hypercontractive semigroups.- Financial models.- Alternative estimators of a diffusion model of the term structure of interest rates. A Monte Carlo comparison.- Backward shastic differential equations. Option hedging under additional cost.- Componentwise and vector shastic integration with respect to certain multi-dimensional continuous local martingales.- Sk price returns and the Joseph effect: A fractional version of the Black-Scholes model.- Critical price for an American option near maturity.- Hedging of options under discrete observation on assets with shastic volatility.- Convergence of option values under incompleteness.- Portfolio selection with transaction costs.
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