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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Format:  eBook 
Language:  English 
Published: 
Berlin, Heidelberg
Springer Berlin Heidelberg
2007, 2007

Edition:  1st ed. 2007 
Series:  Abel Symposia

Subjects:  
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 LongMemory 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 HôeghKrohn'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
 GExpectation, GBrownian 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