Seminar on Stochastic Analysis, Random Fields and Applications VII: Centro Stefano Franscini, Ascona, May 2011

Overview

This volume contains refereed research or review articles presented at the 7th Seminar on Shastic Analysis, Random Fields and Applications which took place at the Centro Stefano Franscini (Monte Verità) in Ascona , Switzerland, in May 2011. The seminar focused mainly on: - shastic (partial) differential equations, especially with jump processes, construction of solutions and approximations - Malliavin calculus and Stein methods, and other techniques in shastic analysis, especially chaos representations and ...

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Overview

This volume contains refereed research or review articles presented at the 7th Seminar on Shastic Analysis, Random Fields and Applications which took place at the Centro Stefano Franscini (Monte Verità) in Ascona , Switzerland, in May 2011. The seminar focused mainly on: - shastic (partial) differential equations, especially with jump processes, construction of solutions and approximations - Malliavin calculus and Stein methods, and other techniques in shastic analysis, especially chaos representations and convergence, and applications to models of interacting particle systems - shastic methods in financial models, especially models for power markets or for risk analysis, empirical estimation and approximation, shastic control and optimal pricing. The book will be a valuable resource for researchers in shastic analysis and for professionals interested in shastic methods in finance.​

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Product Details

  • ISBN-13: 9783034805445
  • Publisher: Springer Basel
  • Publication date: 9/17/2013
  • Series: Progress in Probability Series , #67
  • Edition description: 2013
  • Pages: 469
  • Product dimensions: 6.10 (w) x 9.20 (h) x 1.20 (d)

Table of Contents

Foreword.- Public lecture by N. Bouleau, Can there be excessive mathematization of the world?.- Part I: Shastic analysis and random fields R. Balan, Recent advances related to SPDEs with fractional noise.- G. Di Nunno, S.Sjursen, On chaos representation and orthogonal polynomials for the doubly shastic Poisson process.- R. Eden, F. Viens, General upper and lower tail estimates using Malliavin calculus and Stein's equations.- B. Ferrario, Uniqueness and absolute continuity for semilinear SPDE's.- I. Gyöngy, P.R. Stinga, Rate of convergence of Wong-Zakai approximations for SPDEs.- A. Kohatsu-Higa, H.- L. Ngo, Weak approximations for SDE's driven by Lévy processes.- V. Mandrekar, B. Ruediger, S. Tappe, Itô's formula for Banach space valued jump processes driven by Poisson random measures.- C. Marinelli, Well-posedness for a class of dissipative shastic evolution equations with Wiener and Poisson noise.- L.M. Morato, S. Ugolini, Localization of relative entropy in Bose-Einstein condensation of trapped interacting bosons.- I. Nourdin, G. Peccati, R. Speicher, Multidimensional semicircular limits on the free Wigner chaos.- S.S. Sritharan and M. Xu, Malliavin Calculus for shastic point vortex and Lagrangian models.- W. Stannat, Two remarks on the Wasserstein Dirichlet form.- J. Manuel, Erratum.- Part II: Shastic methods in financial models F. Biagini, Evaluating hybrid products: the interplay between financial and insurance markets.- F.E. Benth, H. Eyjolfsson, Shastic modeling of power markets using stationary processes.- S. Cawston, L. Vostrikova, F-divergence minimal equivalent martingale measures and optimal portfolios for exponential Lévy models with a change-point.- C. Ceci, Optimal investment-consumption for partially observed jump-diffusions.- R. Cogo, A. Gombani, W.J. Runggaldier, Shastic control and pricing under swap measures.- D. Filipovic, Variance swap curve models.- B. Jourdain, M. Sbai. Efficient second order weak scheme for shastic volatility models.- T. Lim, V. Ly Vath, J.- M. Sahut, S. Scotti, Bid-ask spread modelling, a perturbation approach.- A.R.L. Valdez, T. Vargiolu, Optimal portfolio in a regime-switching model.​

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