Stochastic analysis and related topics in Kyoto : in honour of Kiyoshi Itô
著者
書誌事項
Stochastic analysis and related topics in Kyoto : in honour of Kiyoshi Itô
（Advanced studies in pure mathematics, 41）
Mathematical Society of Japan, c2004
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注記
"Based on lectures given at the conference "Stochastic analysis and the related topics" held at RIMS, Kyoto University in Sept. 4-7, 2002"--Pref
内容説明・目次
内容説明
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.
目次
- 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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