Seminar on Stochastic Analysis, Random Fields and Applications III,9783764367213

Seminar on Stochastic Analysis, Random Fields and Applications III

by ; ;
ISBN13: 9783764367213
ISBN10: 3764367210
Format: Hardcover
Pub. Date: 2002-04-01
Publisher(s): Birkhauser
List Price: $179.00

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Summary

This volume contains 20 refereed research or review papers presented at the five-day Third Seminar on Stochastic Analysis, Random Fields and Applications which took place at the Centro Stefano Franscini (Monte Verità) in Ascona, Switzerland, from September 20 to 24, 1999. The seminar focused on three topics: fundamental aspects of stochastic analysis, physical modeling, and applications to financial engineering. The third topic was the subject of a minisymposium on stochastic methods in financial models.

Table of Contents

Sergio Albeverio xv
P. Blanchard
Light, atoms, and singularities
1(18)
O.E. Barndorff-Nielsen
F.E. Benth
J.L. Jensen
How random are random walks
19(14)
R. Blei
Classical solutions for SPDEs with Dirichlet boundary conditions
33(12)
S. Bonaccorsi
G. Guatteri
Credit Risk: The structural approach revisited
45(10)
E. Buffet
Classical solutions for Kolmogorov equations in Hilbert spaces
55(18)
S. Cerrai
Monotone gradient systems in L2 spaces
73(16)
G. Da Prato
Catalytic and mutually catalytic super-brownian motions
89(22)
D. Dawson
K. Fleischmann
Sticky particles, scalar conservation law and pressureless gas equations
111(10)
A. Dermoune
H. Machrafi
O. Moutsinga
Affine short rate models
121(12)
D. Filipovic
A filtered EM algorithm for parameter estimation in linear filtering
133(20)
P. Florchinger
Instability of a quantum particle induced by a randomly varying spring coefficient
153(20)
J. Garnier
On the superreplication approach for european interest rates derivatives
173(16)
F. Gozzi
T. Vargiolu
A complete market model with Poisson and Brownian components
189(16)
M. Jeanblanc
N. Privault
Stochastic calculus and processes in non-commutative space-time
205(14)
R. Vilela Mendes
A measure-valued process related to the parabolic Anderson model
219(10)
C. Mueller
R. Tribe
Homogenization of PDEs with non linear boundary condition
229(14)
Y. Ouknine
E. Pardoux
A Bayesian adaptative control approach to risk management in a binomial model
243(16)
W. Runggaldier
B. Trivellato
T. Vargiolu
Holder continuity for the stochastic heat equation with spatially correlated noise
259(10)
M. Sanz-Sole
M. Sarra
Regularity conditions for parabolic SPDEs on Lie groups
269(24)
S. Tindel
F. Viens
Forward integrals and stochastic differential equations
293
M. Zahle

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