eBook Seminar on Stochastic Analysis, Random Fields and Applications VII, 7th Edition

  • Published By:
  • ISBN-10: 3034805454
  • ISBN-13: 9783034805452
  • DDC: 519.22
  • Grade Level Range: College Freshman - College Senior
  • 469 Pages | eBook
  • Original Copyright 2013 | Published/Released June 2014
  • This publication's content originally published in print form: 2013
  • Price:  Sign in for price

About

Overview

This volume contains refereed research or review articles presented at the 7th Seminar on Stochastic Analysis, Random Fields and Applications which took place at the Centro Stefano Franscini (Monte Verità) in Ascona , Switzerland, in May 2011. The seminar focused mainly on: - stochastic (partial) differential equations, especially with jump processes, construction of solutions and approximations - Malliavin calculus and Stein methods, and other techniques in stochastic analysis, especially chaos representations and convergence, and applications to  models of interacting particle systems - stochastic methods in financial models, especially models for power markets or for risk analysis, empirical estimation and approximation, stochastic control and optimal pricing. The book will be a valuable resource for researchers in stochastic analysis and for professionals interested in stochastic methods in finance.​

Table of Contents

Front Cover.
Other Front Matter.
Half Title Page.
Title Page.
Copyright Page.
Contents.
Preface.
List of Participants.
1: Stochastic Analysis and Random Fields.
2: Recent Advances Related to Spdes with Fractional Noise.
3: On Chaos Representation and Orthogonal Polynomials for the Doubly Stochastic Poisson Process.
4: General Upper and Lower Tail Estimates Using Malliavin Calculus and Stein's Equations.
5: Uniqueness and Absolute Continuity for Semilinear Spde's.
6: Rate of Convergence of Wong-Zakai Approximations for Stochastic Partial Differential Equations.
7: Weak Approximations for Sde's Driven by Lévy Processes.
8: Itô's: Formula for Banach-Space-valued Jump Processes Driven by Poisson Random Measures.
9: Well-Posedness for a Class of Dissipative Stochastic Evolution Equations with Wiener and Poisson Noise.
10: Localization of Relative Entropy in Bose–einstein Condensation of Trapped Interacting Bosons.
11: Multi-Dimensional Semicircular Limits on the Free Wigner Chaos.
12: Malliavin Calculus for Stochastic Point Vortex and Lagrangian Models.
13: Two Remarks on the Wasserstein Dirichlet Form.
14: Erratum.
15: Stochastic Methods in Financial Models.
16: Stochastic Modeling of Power Markets Using Stationary Processes.
17: Evaluating Hybrid Products: The Interplay between Financial and Insurance Markets.
18: ƒ-Divergence Minimal Equivalent Martingale Measures and Optimal Portfolios for Exponential Lévy Models with a Change-Point.
19: Optimal Investment-Consumption for Partially Observed Jump-Diffusions.
20: Stochastic Control and Pricing under Swap Measures.
21: Affine Variance Swap Curve Models.
22: Efficient Second-Order Weak Scheme for Stochastic Volatility Models.
23: Bid-Ask Spread Modelling, a Perturbation Approach.
24: Optimal Portfolio in a Regime-Switching Model.
25: Public Lecture.
26: Can There Be Excessive Mathematization of the World?.