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Seminar on Stochastic Analysis, Random Fields and Applications V : Centro Stefano Franscini, Ascona, May 2005

Author: Robert C Dalang; M Dozzi; Francesco Russo
Publisher: Basel ; Boston : Birkhäuser, ©2008.
Series: Progress in probability, 59.
Edition/Format:   Print book : Conference publication : EnglishView all editions and formats
Database:WorldCat
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Seminar on Stochastic Analysis, Random Fields and Applications - Centro Stefano Franscini, Ascona, May 2005

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Genre/Form: Conference papers and proceedings
Ascona (2005)
Kongress
Congresses
Material Type: Conference publication, Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Robert C Dalang; M Dozzi; Francesco Russo
ISBN: 9783764384579 3764384573 9783764384586 3764384581
OCLC Number: 174131556
Description: xiii, 519 pages : illustrations ; 24 cm.
Contents: Stochastic Analysis and Random Fields.- Detection of Dynamical Systems from Noisy Multivariate Time Series.- A Bakry-Emery Criterion for Self-Interacting Diffusions.- Stationary Solutions for the 2D Stochastic Dissipative Euler Equation.- Volterra Equations Perturbed by a Gaussian Noise.- Dirichlet Forms Methods: An Application to the Propagation of the Error Due to the Euler Scheme.- Individual-Based Probabilistic Models of Adaptive Evolution and Various Scaling Approximations.- A Note on Evolution Systems of Measures for Time-Dependent Stochastic Differential Equations.- Remarks on 3D Stochastic Navier-Stokes Equations.- Slices of a Brownian Sheet: New Results and Open Problems.- An Estimate of the Convergence Rate in Diffusion Approximation of a Particle Motion under Random Forcing.- Long-Time Behaviour for the Brownian Heat Kernel on a Compact Riemannian Manifold and Bismut's Integration-by-Parts Formula.- Probabilistic Deformation of Contact Geometry, Diffusion Processes and Their Quadratures.- Approximation of Stochastic Differential Equations Driven by Fractional Brownian Motion.- Critical Exponents for Semilinear PDEs with Bounded Potentials.- Generalized Ornstein-Uhlenbeck Processes on Separable Banach Spaces.- Approximation of Rough Paths of Fractional Brownian Motion.- A One-Dimensional Analysis of Singularities and Turbulence for the Stochastic Burgers Equation in d Dimensions.- Attractors for Ergodic and Monotone Random Dynamical Systems.- On the Stability of Feynman-Kac Propagators.- Some Applications of the Malliavin Calculus to Sub-Gaussian and Non-Sub-Gaussian Random Fields.- Nonlinear Markovian Problems in Large Dimensions.- Stochastic Methods in Financial Models.- A Tychastic Approach to Guaranteed Pricing and Management of Portfolios under Transaction Constraints.- Numerical Aspects of Loan Portfolio Optimization.- An Orlicz Spaces Duality for Utility Maximization in Incomplete Markets.- No Free Lunch under Transaction Costs for Continuous Processes.- Robustness of the Hobson-Rogers Model with Respect to the Offset Function.- PDE Approach to Utility Maximization for Market Models with Hidden Markov Factors.- Generalizations of Merton's Mutual Fund Theorem in Infinite-Dimensional Financial Models.
Series Title: Progress in probability, 59.
Responsibility: Robert C. Dalang, Marco Dozzi, Francesco Russo, editors.
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