Seminar on Stochastic Analysis, Random Fields and Applications VI: Centro Stefano Franscini, Ascona, May 2008

Book Overview

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 It? integral with respect to L?vy 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 L?vy processes.- A visual criterion for identifying It? 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.

• Format: Paperback
• Language: English
• ISBN: 3034803257
• ISBN13: 9783034803250
• Release Date: April 2013
• Publisher: Birkhauser
• Length: 492 Pages
• Weight: 1.50 lbs.
• Dimensions: 1.0" x 6.0" x 9.0"