Progress in Probability

Centro Stefano Franscini, Ascona, May 2005

By: Robert Dalang (Editor), Marco Dozzi (Editor), Francesco Russo (Editor)

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Hardcover | 17 December 2007

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536 Pages

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This volume contains refereed research or review papers presented at the 5th Seminar on Stochastic Processes, Random Fields and Applications, which took place at the Centro Stefano Franscini (Monte Verita) in Ascona, Switzerland, from May 29 to June 3, 2004. The seminar focused mainly on stochastic partial differential equations, stochastic models in mathematical physics, and financial engineering.

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Non-Fiction Mathematics Probability & Statistics Applied Mathematics Stochastics Calculus & Mathematical Analysis Differential Calculus & Equations Accounting & Finance Finance

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Published: 21st April 2013

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Preface	p. ix
List of participants	p. xi
Stochastic Analysis and Random Fields
Detection of Dynamical Systems from Noisy Multivariate Time Series	p. 3
A Bakry-Emery Criterion for Self-interacting Diffusions	p. 19
Stationary Solutions for the 2D Stochastic Dissipative Euler Equation	p. 23
Volterra Equations Perturbed by a Gaussian Noise	p. 37
Dirichlet Forms Methods: An Application to the Propagation of the Error Due to the Euler Scheme	p. 57
Individual-Based Probabilistic Models of Adaptive Evolution and Various Scaling Approximations	p. 75
A Note on Evolution Systems of Measures for Time-dependent Stochastic Differential Equations	p. 115
Remarks on 3D Stochastic Navier-Stokes Equations	p. 123
Slices of a Brownian Sheet: New Results and Open Problems	p. 135
An Estimate of the Convergence Rate in Diffusion Approximation of a Particle Motion under Random Forcing	p. 175
Long-Time Behaviour for the Brownian Heat Kernel on a Compact Riemannian Manifold and Bismut's Integration-by-Parts Formula	p. 197
Probabilistic Deformation of Contact Geometry, Diffusion Processes and Their Quadratures	p. 203
Approximation of Stochastic Differential Equations Driven by Fractional Brownian Motion	p. 227
Critical Exponents for Semilinear PDEs with Bounded Potentials	p. 243
Generalized Ornstein-Uhlenbeck Processes on Separable Banach Spaces	p. 261
Approximation of Rough Paths of Fractional Brownian Motion	p. 275
A One-Dimensional Analysis of Singularities and Turbulence for the Stochastic Burgers Equation in d Dimensions	p. 305
Attractors for Ergodic and Monotone Random Dynamical Systems	p. 331
On the Stability of Feynman-Kac Propagators	p. 345
Some Applications of the Malliavin Calculus to Sub-Gaussian and Non-Sub-Gaussian Random Fields	p. 363
Nonlinear Markovian Problems in Large Dimensions	p. 397
Stochastic Methods in Financial Models
A Tychastic Approach to Guaranteed Pricing and Management of Portfolios under Transaction Constraints	p. 411
Numerical Aspects of Loan Portfolio Optimization	p. 435
An Orlicz Spaces Duality for Utility Maximization in Incomplete Markets	p. 445
No Free Lunch under Transaction Costs for Continuous Processes	p. 457
Robustness of the Hobson-Rogers Model with Respect to the Offset Function	p. 469
PDE Approach to Utility Maximization for Market Models with Hidden Markov Factors	p. 493
Generalizations of Merton's Mutual Fund Theorem in Infinite-Dimensional Financial Models	p. 507
Table of Contents provided by Ingram. All Rights Reserved.

Progress in Probability

Centro Stefano Franscini, Ascona, May 2005

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