Stochastic Analysis and Applications : The Abel Symposium 2005

Kiyosi Ito, the founder of stochastic calculus, is one of the few central figures of the twentieth century mathematics who reshaped the mathematical world. Today stochastic calculus is a central research field with applications in several other mathematical disciplines, for example physics, engineer...

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Corporate Author: SpringerLink (Online service)
Other Authors: Benth, Fred Espen (Editor), Di Nunno, Giulia (Editor), Lindstrom, Tom (Editor), Øksendal, Bernt (Editor)
Format: eBook
Published: Berlin, Heidelberg Springer Berlin Heidelberg 2007, 2007
Edition:1st ed. 2007
Series:Abel Symposia
Online Access:
Collection: Springer eBooks 2005- - Collection details see MPG.ReNa
Table of Contents:
  • Memoirs of My Research on Stochastic Analysis
  • Itô Calculus and Quantum White Noise Calculus
  • Homogenization of Diffusions on the Lattice Zd with Periodic Drift Coefficients, Applying a Logarithmic Sobolev Inequality or a Weak Poincaré Inequality
  • Theory and Applications of Infinite Dimensional Oscillatory Integrals
  • Ambit Processes; with Applications to Turbulence and Tumour Growth
  • A Stochastic Control Approach to a Robust Utility Maximization Problem
  • Extending Markov Processes in Weak Duality by Poisson Point Processes of Excursions
  • Hedging with Options in Models with Jumps
  • Power Variation Analysis of Some Integral Long-Memory Processes
  • Kolmogorov Equations for Stochastic PDE's with Multiplicative Noise
  • Stochastic Integrals and Adjoint Derivatives
  • An Application of Probability to Nonlinear Analysis
  • The Space of Stochastic Differential Equations
  • Extremes of supOU Processes
  • Gaussian Bridges
  • Martingales, Conservation Laws and Constants of Motion
  • Different Lattice Approximations for Hôegh-Krohn's Quantum Field Model
  • Itô Atlas, its Application to Mathematical Finance and to Exponentiation of Infinite Dimensional Lie Algebras
  • The Invariant Distribution of a Diffusion: Some New Aspects
  • Formation of Singularities in Madelung Fluid: A Nonconventional Application of Itô Calculus to Foundations of Quantum Mechanics
  • G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type
  • Perpetual Integral Functionals of Diffusions and their Numerical Computations
  • Chaos Expansions and Malliavin Calculus for Lévy Processes
  • Study of Simple but Challenging Diffusion Equation
  • Itô Calculus and Malliavin Calculus
  • The Malliavin Calculus for Processes with Conditionally Independent Increments