عنوان

Seminar on Stochastic Analysis, Random Fields and Applications

9783034886819

9783034897273

b406273

Seminar on Stochastic Analysis, Random Fields and Applications

[Book]

Centro Stefano Franscini, Ascona, September 1996 /

edited by Robert C. Dalang, Marco Dozzi, Francesco Russo.

Basel :

Imprint: Birkhäuser,

1999.

Progress in Probability ;

45

On a semigroup approach to no-arbitrage pricing theory -- Generalized random vector fields and Euclidean quantum vector fields -- Central limit theorem for the local time of a Gaussian process -- Explicit solutions of some fourth order partial differential equations via iterated Brownian motion -- A microscopic model of phase field type -- Ergodic backward SDE and associated PDE -- Statistical manifolds, self-parallel curves and learning processes -- Law of iterated logarithm for parabolic SPDEs -- Random production flows. An exactly solvable fluid model -- A compactness principle for bounded sequences of martingales with applications -- Risk minimizing hedging strategies under partial observation -- Multiparameter Markov processes and capacity -- Iterated Brownian motion and its intrinsic skeletal structure -- Heavy traffic and optimal control methods for a communications system -- Stochastic Wess-Zumino- Witten model for the measure of Kontsevitch -- Independence of a class of multiple stochastic integrals -- Existence of invariant measures for diffusion processes on Banach spaces -- On some new type of infinite dimensional Laplacians -- Stochastic PDE's of Schrödinger type and stochastic Mehler kernels - a path integral approach -- Probability and quantum symmetries in a Riemannian manifold.

0

This volume contains the proceedings of the six-day Second Seminar on Stochastic Analysis, Random Fields and Applications which took place at the Centro Ste fano F'ranscini (Monte Verita) in Ascona, Switzerland, from Monday, September 16 to Saturday, September 21, 1996. The seminar focused on three topics: sto chastic analysis, with an emphasis on stochastic partial differential equations and measure-valued diffusions; applications of stochastic analysis to the engineering sciences; and financial modelling. The third topic was the subject of the Second Minisymposium on Stochastic Methods in Financial Models. The seminar aimed at providing an up-to-date picture of current research and outstanding problems, while promoting the interaction between specialists and younger scientists. Several lecturers were asked to present a review of their research areas. Two public lectures were given by Prof. F. Moriconi (Universita di Perugia) and Prof. A. Beltratti (Universita di Torino). The titles of their lectures were: - Extensions of single factor models for the valuation of variable rate government bonds' - The equity premium. These proceedings attempt to convey this up-to-date picture to a larger audience. All the papers of this volume have been refereed. We now briefly discuss the main topics of the seminar.

9783034897273

Springer eBooks

Mathematics.

Dalang, Robert C.

Dozzi, Marco.

Russo, Francesco.

SpringerLink (Online service)

20190307161900.0

[Book]

Y