Stochastic analysis and related topics in Kyoto : in honour of Kiyoshi Itô
Author(s)
Bibliographic Information
Stochastic analysis and related topics in Kyoto : in honour of Kiyoshi Itô
(Advanced studies in pure mathematics, 41)
Mathematical Society of Japan, c2004
Available at 50 libraries
  Aomori
  Iwate
  Miyagi
  Akita
  Yamagata
  Fukushima
  Ibaraki
  Tochigi
  Gunma
  Saitama
  Chiba
  Tokyo
  Kanagawa
  Niigata
  Toyama
  Ishikawa
  Fukui
  Yamanashi
  Nagano
  Gifu
  Shizuoka
  Aichi
  Mie
  Shiga
  Kyoto
  Osaka
  Hyogo
  Nara
  Wakayama
  Tottori
  Shimane
  Okayama
  Hiroshima
  Yamaguchi
  Tokushima
  Kagawa
  Ehime
  Kochi
  Fukuoka
  Saga
  Nagasaki
  Kumamoto
  Oita
  Miyazaki
  Kagoshima
  Okinawa
  Korea
  China
  Thailand
  United Kingdom
  Germany
  Switzerland
  France
  Belgium
  Netherlands
  Sweden
  Norway
  United States of America
Note
"Based on lectures given at the conference "Stochastic analysis and the related topics" held at RIMS, Kyoto University in Sept. 4-7, 2002"--Pref
Description and Table of Contents
Description
This volume is a collection of research and survey papers written by invited lecturers at the RIMS international symposium on stochastic analysis and related topics in celebration of Professor Kiyosi Ito's eighty-eighth birthday. Leading stochastic analysts, including his colleagues and former students, attended the symposium and contributed articles to this collection. Readers will find here many new and exciting developments. The symposium consisted of four sections, which are represented in this volume: "Markov Processes", "Mathematical Finance", "Malliavin Calculus", and a special session on "Perspectives in Stochastic Analysis". Topics covered include quadratic Wiener functionals, representation of martingales, infinite dimensional hypoelliptic semi-group, Orlicz norm equivalence, noises associated with Harris flows, Ito's construction procedure, Stieltjes exponential, stochastic Newton equation, cubic Schroodinger equations, stochastic porous media equation, homogenization on fractals, risk-sensitive portfolio optimization, least square approximation, and more.
The book is suitable for graduate students and research mathematicians interested in probability theory and mathematical finance. Information for our distributors: Published for the Mathematical Society of Japan by Kinokuniya, Tokyo, and distributed worldwide, except in Japan, by the AMS. All commercial channel discounts apply.
Table of Contents
- Backward regularity for some infinite dimensional hypoellptic semi-groups
- Invariant measures for a stochastic porous medium equation
- Equivariant diffusions on principal bundles
- Monge-Kantorovitch measure transportation, Monge-Ampere equation and the Ito calculus
- Function spaces and symmetric Markov processes
- Gauge theorems for Stieltjes exponentials
- A frontier of white noise analysis, in line with Ito calculus
- Integral representation of linear functionals on vector lattices and its application to BV functions on Wiener space
- Least-squares approximation of random variables by stochastic integrals
- Quadratic Wiener functionals, Kalman-Bucy filters, and the KdV equation
- Homogenization on finitely ramified fractals
- Representation of martingales with jumps and applications to mathematical finance
- Stochastic Newton equation with reflecting boundary condition
- Cubic Schrodinger: The petit canonical ensemble
- Risk-sensitive portfolio optimization with full and partial information
- An approximation for exponential hedging
- Orlicz norm equivalence for the Ornstein-Uhlenback operator
- Some comments about Ito's construction procedure
- Criticality of generalized Schrodinger operators and differentiability of spectral functions
- On spectra of noises associated with Harris flows
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