Seminar on Stochastic Analysis, Random Fields and Applications IV: Centro Stefano Franscini, Ascona, May 2002 / Edition 1

Seminar on Stochastic Analysis, Random Fields and Applications IV: Centro Stefano Franscini, Ascona, May 2002 / Edition 1

by Robert C. Dalang
     
 

ISBN-10: 3764371315

ISBN-13: 9783764371319

Pub. Date: 09/27/2004

Publisher: Birkhauser Basel

This volume contains twenty refereed research or review papers presented at the 4th Seminar on Stochastic Processes, Random Fields and Applications, which took place at the Centro Stefano Franscini (Monte VeritA ) in Ascona, Switzerland, from May 19 to 24, 2002. The seminar focused mainly on stochastic partial differential equations, stochastic models in

Overview

This volume contains twenty refereed research or review papers presented at the 4th Seminar on Stochastic Processes, Random Fields and Applications, which took place at the Centro Stefano Franscini (Monte VeritA ) in Ascona, Switzerland, from May 19 to 24, 2002. The seminar focused mainly on stochastic partial differential equations, stochastic models in mathematical physics, and financial engineering. The book will be a valuable resource for both researchers in stochastic analysis and professionals interested in stochastic methods in finance and insurance.

Product Details

ISBN-13:
9783764371319
Publisher:
Birkhauser Basel
Publication date:
09/27/2004
Series:
Progress in Probability Series, #58
Edition description:
2004
Pages:
328
Product dimensions:
6.10(w) x 9.25(h) x 0.03(d)

Table of Contents

Shastic Analysis and Random Fields.- Gaussian random fields on manifolds.- Higher order expansions for the overlap of the SK model.- Poissonian exponential functionalsq-seriesq-integrals, and the moment problem for log-normal distributions.- A Littlewood-Paley type inequality on the path space.- Condition numbers and extrema of random fields.- Second-order hyperbolic S.P.D.E.’s driven by boundary noises.- Shastic heat and Burgers equations and the intermittence of turbulence.- Averaging of a parabolic partial differential equation with random evolution.- Random currents and probabilistic models of vortex filaments.- Shastic resonance: a comparative study of two-state models.- Sample Hölder continuity of shastic processes and majorizing measures.- Hypoelliptic diffusions and cyclic cohomology.- Isovectors for the Hamilton-Jacobi-Bellman equation,formal shastic differentials and first integrals in Euclidean quantum mechanics.- Shastic Methods in Financial Models.- Superhedging strategies and balayage in discrete time.- Generalized hyperbolic and inverse Gaussian distributions: limiting cases and approximation of processes.- Shastic volatility and correction to the heat equation.- Bayesian estimate of default probabilities via MCMC with delayed rejection.- Optimal portfolio in a multiple-priors model.- Indifference pricing with exponential utility.

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