This volume contains refereed research or review papers presented at the 6th Seminar on Stochastic Processes, Random Fields and Applications, which took place at the Centro Stefano Franscini (Monte Verità) in Ascona, Switzerland, in May 2008. The seminar focused mainly on stochastic partial differential equations, especially large deviations and control problems, on infinite dimensional analysis, particle systems and financial engineering, especially energy markets and climate models. The book will be a valuable resource for researchers in stochastic analysis and professionals interested in stochastic methods in finance. …mehr
This volume contains refereed research or review papers presented at the 6th Seminar on Stochastic Processes, Random Fields and Applications, which took place at the Centro Stefano Franscini (Monte Verità) in Ascona, Switzerland, in May 2008. The seminar focused mainly on stochastic partial differential equations, especially large deviations and control problems, on infinite dimensional analysis, particle systems and financial engineering, especially energy markets and climate models.
The book will be a valuable resource for researchers in stochastic analysis and professionals interested in stochastic methods in finance.
Artikelnr. des Verlages: 12438778, 978-3-0348-0020-4
2011
Seitenzahl: 504
Erscheinungstermin: 23. März 2011
Englisch
Abmessung: 241mm x 160mm x 32mm
Gewicht: 888g
ISBN-13: 9783034800204
ISBN-10: 3034800207
Artikelnr.: 31354648
Inhaltsangabe
Preface.- List of participants.- I Stochastic Analysis and Random Fields.- The trace formula for the heat semigroup with polynomial potential.- Existence results for Fokker-Planck equations in Hilbert spaces.- Uniqueness in law of the Itô integral with respect to Lévy noise.- Statistical inference and Malliavin calculus.- Hydrodynamics, probability and the geometry of the diffeomorphisms group.- On stochastic ergodic control in infinite dimensions.- Yet another look at Harris' ergodic theorem for Markov chains.- Old and new examples of scale functions for spectrally negative Lévy processes.- A visual criterion for identifying Itô diffusions as martingales or strict local martingales.- Are fractional Brownian motions predictable?.- Control of exit time for Lagrangian systems with weak noise.- A probabilistic deformation of calculus of variations with constraints.- Exponential integrability and DLR consistence of some rough functional.- A family of series representations of the multiparameter fractional Brownian motion.- The martingale problem for Markov solutions to the Navier-Stokes equations.- Functional inequalities for the Wasserstein Dirichlet form.- Entropic measure on multidimensional spaces.- Properties of strong local nondeterminism and local times of stable random fields.- II Stochastic Methods in Financial Models.- Hedging with residual risk: a BSDE approach.- Auto-tail dependence coefficients for stationary solutions of linear stochastic recurrence equations and for GARCH(1, 1).- The clean development mechanism and joint price formation for allowances and CERs.- Optimal investment problems with marked point processes.- Doubly stochastic CDO term structures.- A framework for dynamic hedging under convex risk measures.- On the stability of prices of contingent claims in incomplete models under statistical estimations.- Analyzing the fine structure of continous time stochastic processes.
Preface.- List of participants.- I Stochastic Analysis and Random Fields.- The trace formula for the heat semigroup with polynomial potential.- Existence results for Fokker-Planck equations in Hilbert spaces.- Uniqueness in law of the Itô integral with respect to Lévy noise.- Statistical inference and Malliavin calculus.- Hydrodynamics, probability and the geometry of the diffeomorphisms group.- On stochastic ergodic control in infinite dimensions.- Yet another look at Harris' ergodic theorem for Markov chains.- Old and new examples of scale functions for spectrally negative Lévy processes.- A visual criterion for identifying Itô diffusions as martingales or strict local martingales.- Are fractional Brownian motions predictable?.- Control of exit time for Lagrangian systems with weak noise.- A probabilistic deformation of calculus of variations with constraints.- Exponential integrability and DLR consistence of some rough functional.- A family of series representations of the multiparameter fractional Brownian motion.- The martingale problem for Markov solutions to the Navier-Stokes equations.- Functional inequalities for the Wasserstein Dirichlet form.- Entropic measure on multidimensional spaces.- Properties of strong local nondeterminism and local times of stable random fields.- II Stochastic Methods in Financial Models.- Hedging with residual risk: a BSDE approach.- Auto-tail dependence coefficients for stationary solutions of linear stochastic recurrence equations and for GARCH(1, 1).- The clean development mechanism and joint price formation for allowances and CERs.- Optimal investment problems with marked point processes.- Doubly stochastic CDO term structures.- A framework for dynamic hedging under convex risk measures.- On the stability of prices of contingent claims in incomplete models under statistical estimations.- Analyzing the fine structure of continous time stochastic processes.
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