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Format: 1 Online-Ressource (XI, 492 S.)

ISBN: 9783034800211

Series Statement: Progress in probability 63

Additional Edition: Erscheint auch als Druck-Ausgabe, Hardcover ISBN 978-3-0348-0020-4

Language: English

Subjects: Mathematics

Keywords: Zufälliges Feld ; Stochastische Analysis ; Konferenzschrift

DOI: 10.1007/978-3-0348-0021-1

URL: Volltext

Author information: Dalang, Robert C. 1961-

UID:

ISBN: 9783034800204

Series Statement: Progress in probability 63

Note: Literaturangaben , Machine generated contents note: 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 Ito Integral with Respect to Levy 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 Levy Processes , A Visual Criterion for Identifying Ito 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 Functionals , 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 , 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

Additional Edition: ISBN 9783034800211

Additional Edition: ISBN 9783034800211

Additional Edition: Online-Ausg. Dalang, Robert Seminar on Stochastic Analysis, Random Fields and Applications VI Basel : Springer Basel, 2011 ISBN 9783034800211

Language: English

Subjects: Mathematics

Keywords: Stochastische Analysis ; Zufälliges Feld ; Konferenzschrift

URL: Einführung/Vorwort

URL: Cover

URL: Inhaltstext

Author information: Dalang, Robert C. 1961-

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Format: Online-Ressource , v.: digital

Edition: Online-Ausg. Springer eBook Collection. Mathematics and Statistics Electronic reproduction; Available via World Wide Web

ISBN: 9783034800211

Series Statement: Progress in Probability 63

Content: This volume contains refereed research or review papers presented at the 6th Seminar on Stochastic Processes, Random Fields and Applications, which took place at the Centro Stefano Franscini (Monte Verità) in Ascona, Switzerland, in May 2008. The seminar focused mainly on stochastic partial differential equations, especially large deviations and control problems, on infinite dimensional analysis, particle systems and financial engineering, especially energy markets and climate models. The book will be a valuable resource for researchers in stochastic analysis and professionals interested in stochastic methods in finance.

Note: Includes bibliographical references , Seminar on Stochastic Analysis, Random Fields and Applications VI; Contents; Preface; List of Participants; 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 Ito Integral with Respect to Lévy 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 Lévy ProcessesA Visual Criterion for Identifying Itô 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 Functionals; A Family of Series Representations of the Multiparameter Fractional Brownian Motion; The Martingale Problem for Markov Solutionsto the Navier-Stokes Equations , Functional Inequalities for the Wasserstein Dirichlet FormEntropic Measure on Multidimensional Spaces; Properties of Strong Local Nondeterminism and Local Times of Stable Random Fields; 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 MeasuresOn the Stability of Prices of Contingent Claims in Incomplete Models Under Statistical Estimations; Analyzing the Fine Structure of Continuous Time Stochastic Processes , Electronic reproduction; Available via World Wide Web

Additional Edition: ISBN 9783034800204

Language: English

Subjects: Mathematics

Keywords: Stochastische Analysis ; Zufälliges Feld ; Konferenzschrift

DOI: 10.1007/978-3-0348-0021-1

URL: Volltext  (lizenzpflichtig)

URL: Inhaltstext

UID:

Format: XI, 492 S. , graph. Darst.

ISBN: 9783034800204

Series Statement: Progress in probability 63

Additional Edition: Erscheint auch als Online-Ausgabe ISBN 978-3-0348-0021-1

Language: English

Keywords: Zufälliges Feld ; Stochastische Analysis ; Konferenzschrift

Author information: Dalang, Robert C. 1961-