Seminar on Stochastic Analysis, Random Fields and Applications VII Centro Stefano Franscini, Ascona, May 2011 /

• Corporate Author: SpringerLink (Online service)
• Other Authors: Dalang, Robert C. (Editor), Dozzi, Marco. (Editor), Russo, Francesco. (Editor)
• Format: Electronic
• Language: English
• Published: Basel : Springer Basel : Imprint: Birkhũser, 2013.
• Series: Progress in Probability ; 67
• Subjects: Mathematics.; Global analysis (Mathematics).; Differential equations, partial.; Distribution (Probability theory).; Probability Theory and Stochastic Processes.; Partial Differential Equations.; Analysis.
• Online Access: https://ezaccess.library.uitm.edu.my/login?url=http://dx.doi.org/10.1007/978-3-0348-0545-2

This book presents refereed research or review articles presented at the 7th Seminar on Stochastic Analysis, Random Fields and Applications, which was held at the Centro Stefano Franscini (Monte Verit)̉ in Ascona, Switzerland, in May 2011. The seminar mainly focused on: " stochastic (partial) d...

Table of Contents:

• Foreword
• Public lecture by N. Bouleau, Can there be excessive mathematization of the world?
• Part I: Stochastic analysis and random fields R. Balan, Recent advances related to SPDEs with fractional noise
• G. Di Nunno, S.Sjursen, On chaos representation and orthogonal polynomials for the doubly stochastic Poisson process
• R. Eden, F. Viens, General upper and lower tail estimates using Malliavin calculus and Stein's equations
• B. Ferrario, Uniqueness and absolute continuity for semilinear SPDE's
• I. Gyn̲gy, P.R. Stinga, Rate of convergence of Wong-Zakai approximations for SPDEs
• A. Kohatsu-Higa, H
• L. Ngo, Weak approximations for SDE's driven by Lv̌y processes
• V. Mandrekar, B. Ruediger, S. Tappe, It'̥s formula for Banach space valued jump processes driven by Poisson random measures
• C. Marinelli, Well-posedness for a class of dissipative stochastic evolution equations with Wiener and Poisson noise
• L.M. Morato, S. Ugolini, Localization of relative entropy in Bose-Einstein condensation of trapped interacting bosons
• I. Nourdin, G. Peccati, R. Speicher, Multidimensional semicircular limits on the free Wigner chaos
• S.S. Sritharan and M. Xu, Malliavin Calculus for stochastic point vortex and Lagrangian models
• W. Stannat, Two remarks on the Wasserstein Dirichlet form
• J. Manuel, Erratum
• Part II: Stochastic methods in financial models F. Biagini, Evaluating hybrid products: the interplay between financial and insurance markets
• F.E. Benth, H. Eyjolfsson, Stochastic modeling of power markets using stationary processes
• S. Cawston, L. Vostrikova, F-divergence minimal equivalent martingale measures and optimal portfolios for exponential Lv̌y models with a change-point
• C. Ceci, Optimal investment-consumption for partially observed jump-diffusions
• R. Cogo, A. Gombani, W.J. Runggaldier, Stochastic control and pricing under swap measures
• D. Filipovic, Variance swap curve models
• B. Jourdain, M. Sbai. Efficient second order weak scheme for stochastic volatility models
• T. Lim, V. Ly Vath, J
• M. Sahut, S. Scotti, Bid-ask spread modelling, a perturbation approach
• A.R.L. Valdez, T. Vargiolu, Optimal portfolio in a regime-switching model.