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

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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.

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Product Details

  • ISBN-13: 9783764371319
  • Publisher: Birkhauser Basel
  • Publication date: 9/27/2004
  • Series: Progress in Probability Series, #58
  • Edition description: 2004
  • Edition number: 1
  • Pages: 328
  • Product dimensions: 9.21 (w) x 6.14 (h) x 0.81 (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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