Seminar on Stochastic Analysis, Random Fields and Applications III: Centro Stefano Franscini, Ascona, September 1999 / Edition 1

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This volume contains 20 refereed research or review papers presented at the five-day Third Seminar on Shastic Analysis, Random Fields and Applications which took place at the Centro Stefano Franscini (Monte Verità) in Ascona, Switzerland, from September 20 to 24, 1999. The seminar focused on three topics: fundamental aspects of shastic analysis, physical modeling, and applications to financial engineering. The third topic was the subject of a mini-symposium on shastic methods in financial models.

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Product Details

  • ISBN-13: 9783764367213
  • Publisher: Birkhauser Basel
  • Publication date: 4/1/2002
  • Series: Progress in Probability Series, #52
  • Edition description: 2002
  • Edition number: 1
  • Pages: 302
  • Product dimensions: 0.75 (w) x 9.21 (h) x 6.14 (d)

Table of Contents

Light, atoms, and singularities.- How random are random walks—.- Classical solutions for SPDEs with Dirichlet boundary conditions.- Credit Risk: The structural approach revisited.- Classical solutions for Kolmogorov equations in Hilbert spaces.- Monotone gradient systems in L2spaces.- Catalytic and mutually catalytic super-brownian motions.- Sticky particles, scalar conservation law and pressureless gas equations.- Affine short rate models.- A filtered EM algorithm for parameter estimation in linear filtering.- Instability of a quantum particle induced by a randomly varying spring coefficient.- On the superreplication approach for European interest rates derivatives.- A complete market model with Poisson and Brownian components.- Shastic calculus and processes in non-commutative space-time.- A measure-valued process related to the parabolic Anderson model.- Homogenization of PDEs with non linear boundary condition.- A Bayesian adaptative control approach to risk management in a binomial model.- Hölder continuity for the shastic heat equation with spatially correlated noise.- Regularity conditions for parabolic SPDEs on Lie groups.- Forward integrals and shastic differential equations.

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