Frontiers in Stochastic Analysis–BSDEs, SPDEs and their Applications Edinburgh, July 2017 Selected, Revised and Extended Contributions
This collection of selected, revised and extended contributions resulted from a Workshop on BSDEs, SPDEs and their Applications that took place in Edinburgh, Scotland, July 2017 and included the 8th World Symposium on BSDEs. The volume addresses recent advances involving backward stochastic differen...
| Other Authors: | , , , |
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| Format: | eBook |
| Language: | English |
| Published: |
Cham
Springer International Publishing
2019, 2019
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| Edition: | 1st ed. 2019 |
| Series: | Springer Proceedings in Mathematics & Statistics
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| Subjects: | |
| Online Access: | |
| Collection: | Springer eBooks 2005- - Collection details see MPG.ReNa |
Table of Contents:
- Preface
- Dirk Becherer, Martin Büttner, Klebert Kentia, On the monotone stability approach to BSDEs with jumps: Extensions, concrete criteria and examples
- Mireille Bossy, Jean-Franҫois Jabir, On the wellposedness of some McKean models with moderated or singular diffusion coefficient
- Philippe Briand, Adrien Richou, On the uniqueness of solutions to quadratic BSDEs with non-convex generators
- Antonella Calzolari, Barbara Torti, An example of martingale representation in progressive enlargement by an accessible random time
- Samuel N. Cohen, Martin Tegner, European option pricing with stochastic volatility models under parameter uncertainty
- Nicole El Karoui, Caroline Hillairet, Mohamed Mrad, Construction of an aggregate consistent utility, without Pareto optimality. Application to Long-Term yield curve modeling
- Monique Jeanblanc, Dongli Wu, BSDEs and enlargement of filtration
- Gonҫcalo dos Reis, Greig Smith, An unbiased Itô type stochastic representation for transport PDEs: A toy example
- Mauro Rosestolato, Path-dependent SDEs in Hilbert spaces