Seminar on Stochastic Analysis, Random Fields and Applications: Centro Stefano Franscini, Ascona, September 1996

by Robert Dalang (Editor), Marco Dozzi (Editor), Francesco Russo (Editor)

Overview

A collection of 20 refereed research or review papers presented at a six-day seminar in Switzerland. The contributions focus on shastic analysis, its applications to the engineering sciences, and shastic methods in financial models, which was the subject of a minisymposium.

Product Details

ISBN-13:	9783034897273
Publisher:	Birkhäuser Basel
Publication date:	10/12/2012
Series:	Progress in Probability , #45
Edition description:	Softcover reprint of the original 1st ed. 1999
Pages:	300
Product dimensions:	6.10(w) x 9.25(h) x 0.03(d)

Table of Contents

On a semigroup approach to no-arbitrage pricing theory.- Generalized random vector fields and Euclidean quantum vector fields.- Central limit theorem for the local time of a Gaussian process.- Explicit solutions of some fourth order partial differential equations via iterated Brownian motion.- A microscopic model of phase field type.- Ergodic backward SDE and associated PDE.- Statistical manifolds, self-parallel curves and learning processes.- Law of iterated logarithm for parabolic SPDEs.- Random production flows. An exactly solvable fluid model.- A compactness principle for bounded sequences of martingales with applications.- Risk minimizing hedging strategies under partial observation.- Multiparameter Markov processes and capacity.- Iterated Brownian motion and its intrinsic skeletal structure.- Heavy traffic and optimal control methods for a communications system.- Shastic Wess-Zumino- Witten model for the measure of Kontsevitch.- Independence of a class of multiple shastic integrals.- Existence of invariant measures for diffusion processes on Banach spaces.- On some new type of infinite dimensional Laplacians.- Shastic PDE’s of Schrödinger type and shastic Mehler kernels — a path integral approach.- Probability and quantum symmetries in a Riemannian manifold.