Seminar on Stochastic Analysis, Random Fields and Applications V: Centro Stefano Franscini, Ascona, May 2005

Overview

This volume contains refereed research or review papers presented at the 5th Seminar on Shastic Processes, Random Fields and Applications, which took place at the Centro Stefano Franscini (Monte Verità) in Ascona, Switzerland, from May 29 to June 3, 2004. The seminar focused mainly on shastic partial differential equations, shastic models in mathematical physics, and financial engineering.

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Overview

This volume contains refereed research or review papers presented at the 5th Seminar on Shastic Processes, Random Fields and Applications, which took place at the Centro Stefano Franscini (Monte Verità) in Ascona, Switzerland, from May 29 to June 3, 2004. The seminar focused mainly on shastic partial differential equations, shastic models in mathematical physics, and financial engineering.

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Product Details

  • ISBN-13: 9783764384579
  • Publisher: Birkhauser Basel
  • Publication date: 12/17/2007
  • Series: Progress in Probability Series, #59
  • Edition description: 2008
  • Edition number: 1
  • Pages: 519
  • Product dimensions: 6.55 (w) x 9.13 (h) x 1.23 (d)

Table of Contents

Shastic Analysis and Random Fields.- Detection of Dynamical Systems from Noisy Multivariate Time Series.- A Bakry-Emery Criterion for Self-Interacting Diffusions.- Stationary Solutions for the 2D Shastic Dissipative Euler Equation.- Volterra Equations Perturbed by a Gaussian Noise.- Dirichlet Forms Methods: An Application to the Propagation of the Error Due to the Euler Scheme.- Individual-Based Probabilistic Models of Adaptive Evolution and Various Scaling Approximations.- A Note on Evolution Systems of Measures for Time-Dependent Shastic Differential Equations.- Remarks on 3D Shastic Navier-Stokes Equations.- Slices of a Brownian Sheet: New Results and Open Problems.- An Estimate of the Convergence Rate in Diffusion Approximation of a Particle Motion under Random Forcing.- Long-Time Behaviour for the Brownian Heat Kernel on a Compact Riemannian Manifold and Bismut’s Integration-by-Parts Formula.- Probabilistic Deformation of Contact Geometry, Diffusion Processes and Their Quadratures.- Approximation of Shastic Differential Equations Driven by Fractional Brownian Motion.- Critical Exponents for Semilinear PDEs with Bounded Potentials.- Generalized Ornstein-Uhlenbeck Processes on Separable Banach Spaces.- Approximation of Rough Paths of Fractional Brownian Motion.- A One-Dimensional Analysis of Singularities and Turbulence for the Shastic Burgers Equation in d Dimensions.- Attractors for Ergodic and Monotone Random Dynamical Systems.- On the Stability of Feynman-Kac Propagators.- Some Applications of the Malliavin Calculus to Sub-Gaussian and Non-Sub-Gaussian Random Fields.- Nonlinear Markovian Problems in Large Dimensions.- Shastic Methods in Financial Models.- A Tychastic Approach to Guaranteed Pricing and Management of Portfolios under Transaction Constraints.- Numerical Aspects of Loan Portfolio Optimization.- An Orlicz Spaces Duality for Utility Maximization in Incomplete Markets.- No Free Lunch under Transaction Costs for Continuous Processes.- Robustness of the Hobson-Rogers Model with Respect to the Offset Function.- PDE Approach to Utility Maximization for Market Models with Hidden Markov Factors.- Generalizations of Merton’s Mutual Fund Theorem in Infinite-Dimensional Financial Models.

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