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Seminar on Stochastic Analysis, Random Fields and Applications : Centro Stefano Franscini, Ascona, 1993 :  Centro Stefano Franscini, Ascona, 1993 - Erwin Bolthausen

Seminar on Stochastic Analysis, Random Fields and Applications : Centro Stefano Franscini, Ascona, 1993

Centro Stefano Franscini, Ascona, 1993

By: Erwin Bolthausen (Editor), Marco Dozzi (Editor), Francesco Russo (Editor)

Hardcover

Published: 1995
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Pure and applied stochastic analysis and random fields form the subject of this book. The collection of articles on these topics represent the state of the art of the research in the field, with particular attention being devoted to stochastic models in finance. Some are review articles, others are original papers; taken together, they will apprise the reader of much of the current activity in the area.

Preface
List of Participants
Propagation of chaos - the inverse problemp. 1
A remark on stachastic dynamics on the infinite-dimensional torusp. 27
Diffusion-approximation for the advection-diffusion of a passive scalar by a space-time Gaussian velocity fieldp. 37
A new space of white noise distributions and applications to SPDE'sp. 51
Dissipativity of three-dimensional stochastic Navier-Stokes equationp. 67
Bernstein diffusions and Euclidean quantum field theoryp. 77
A Fubini theorem for generalized Stratonovich integralsp. 99
Large deviations via parameter dependent change of measure, and an application to the lower tail of Gaussian processesp. 111
An equation modelling transport of a substance in a stochastic mediump. 123
Stochastic representation of unitary quantum evolutionp. 135
Critical dimensions for the existence of self-intersection local times of the Brownian sheet in R[superscript d]p. 151
Density estimates for stochastic partial differential equationsp. 169
Almost sure convergence of stochastic differential equations of jump-diffusion typep. 187
Applications and foundations of quasi sure analysisp. 199
A duality formula on the Poisson space and some applicationsp. 205
Generalized functions and stochastic processesp. 215
On the geometry defined by Dirichlet formsp. 231
Random Brownian scaling and some absolute continuity relationshipsp. 243
Recent progress in the hypercontractive semigroupsp. 253
Alternative estimators of a diffusion model of the term structure of interest rates. A Monte Carlo comparisonp. 265
Backward stochastic differential equations. Option hedging under additional costp. 307
Componentwise and vector stochastic integration with respect to certain multi-dimensional continuous local martingalesp. 319
Stock price returns and the Joseph effect: A fractional version of the Black-Scholes modelp. 327
Critical price for an American option near maturityp. 353
Hedging of options under discrete observation on assets with stochastic volatilityp. 359
Convergence of option values under incompletenessp. 365
Portfolio selection with transaction costsp. 385
Table of Contents provided by Blackwell. All Rights Reserved.

ISBN: 9783764352417
ISBN-10: 3764352418
Series: Progress in Probability
Audience: Professional
Format: Hardcover
Language: English
Number Of Pages: 394
Published: 1995
Publisher: Birkhauser Verlag AG
Country of Publication: CH
Dimensions (cm): 23.5 x 15.5  x 2.4
Weight (kg): 0.81