Cover Image
Read Now

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

This book presents refereed research or review articles presented at the 7th Seminar on Stochastic Analysis, Random Fields and Applications, which was held at the Centro Stefano Franscini (Monte Verità) in Ascona, Switzerland, in May 2011. The seminar mainly focused on: • stochastic (partial) differ...

Full description

Bibliographic Details
Other Authors: Dalang, Robert C. (Editor), Dozzi, Marco (Editor), Russo, Francesco (Editor)
Format: eBook
Language:English
Published: Basel Birkhäuser 2013, 2013
Edition:1st ed. 2013
Series:Progress in Probability
Subjects:
Mathematical Analysis
Probability Theory
Analysis
Differential Equations
Probabilities
Online Access:
Collection: Springer eBooks 2005- - Collection details see MPG.ReNa
Table of Contents:
  • D. Filipovic, Variance swap curve models
  • B. Jourdain, M. Sbai. Efficient second order weak scheme forstochastic 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
  • Foreword
  • Public lecture by N. Bouleau, Can there be excessive mathematization of the world?
  • Part I: Stochastic 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 stochastic 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 stochastic 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 stochastic point vortex and Lagrangian models
  • W. Stannat, Two remarks on the Wasserstein Dirichlet form
  • J. Manuel, Erratum
  • Part II: Stochastic methods in financial models F. Biagini, Evaluating hybrid products: the interplay between financial and insurance markets
  • F.E. Benth, H. Eyjolfsson, Stochastic 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, Stochastic control and pricing under swap measures

Similar Items