Stochastic analysis and related topics V : the Silivri workshop, 1994
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Stochastic analysis and related topics V : the Silivri workshop, 1994
(Progress in probability / series editors, Thomas Liggett, Charles Newman, Loren Pitt, 38)
Birkhäuser, c1996
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:us ISBN 9780817638870
内容説明
This text presents the proceedings of a workshop held in silivri in 1994 on the subject of stochastic analysis. It should particularly appeal to people in mathematical finance.
目次
Main Lectures.- Mathematical Theory of Communication Networks.- State-Space Models of the Term Structure of Interest Rates.- Theory of Capacity on the Wiener Space.- Contributed Papers.- A Model for Loss of Profits Insurance.- A Note on Population Growth in a Crowded Stochastic Environment.- A Generalized Feynman-Kac Formula for the Stochastic Heat Problem with Anticipating Initial Conditions.- Wick products of Complex Valued Random Variables.- Two Classes of Stochastic Dirichlet Equations which Admit Explicit Solution Formulas.- Semi-Implicit Euler-Maruyama Scheme for Stiff Stochastic Equations.- Wick Approximation of Quasilinear Stochastic Differential Equations.- The Circle as a Fermionic Distribution.- Linear Skorohod Stochastic Differential Equations on Poisson Space.- Diffusion Approximation for Elliptic Stochastic Differential Equations.- Absolute Continuity of Monotone Shifts on the Wiener Space.- Hilbert Space Methods Applied to Elliptic Stochastic Partial Differential Equations.
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ISBN 9783764338879
内容説明
This text presents the proceedings of a workshop held in silivri in 1994 on the subject of stochastic analysis. It should particularly appeal to people in mathematical finance.
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