Seminar on Stochastic Analysis, Random Fields and Applications VI : Centro Stefano Franscini, Ascona, May 2008
著者
書誌事項
Seminar on Stochastic Analysis, Random Fields and Applications VI : Centro Stefano Franscini, Ascona, May 2008
（Progress in probability / series editors, Thomas Liggett, Charles Newman, Loren Pitt, v. 63）
Birkhäuser, c2011
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注記
Includes bibliographical references
"This volume contains the Proceedings of the Sixth Seminar on Stochastic Analysis, Random Fields and Applications" -- Pref
内容説明・目次
内容説明
This volume contains refereed research or review papers presented at the 6th Seminar on Stochastic Processes, Random Fields and Applications, which took place at the Centro Stefano Franscini (Monte Verita) in Ascona, Switzerland, in May 2008. The seminar focused mainly on stochastic partial differential equations, especially large deviations and control problems, on infinite dimensional analysis, particle systems and financial engineering, especially energy markets and climate models.
The book will be a valuable resource for researchers in stochastic analysis and professionals interested in stochastic methods in finance.
目次
Preface.- List of participants.- I Stochastic Analysis and Random Fields.- The trace formula for the heat semigroup with polynomial potential.- Existence results for Fokker-Planck equations in Hilbert spaces.- Uniqueness in law of the Ito integral with respect to Levy noise.- Statistical inference and Malliavin calculus.- Hydrodynamics, probability and the geometry of the diffeomorphisms group.- On stochastic ergodic control in infinite dimensions.- Yet another look at Harris' ergodic theorem for Markov chains.- Old and new examples of scale functions for spectrally negative Levy processes.- A visual criterion for identifying Ito diffusions as martingales or strict local martingales.- Are fractional Brownian motions predictable?.- Control of exit time for Lagrangian systems with weak noise.- A probabilistic deformation of calculus of variations with constraints.- Exponential integrability and DLR consistence of some rough functional.- A family of series representations of the multiparameter fractional Brownian motion.- The martingale problem for Markov solutions to the Navier-Stokes equations.- Functional inequalities for the Wasserstein Dirichlet form.- Entropic measure on multidimensional spaces.- Properties of strong local nondeterminism and local times of stable random fields.- II Stochastic Methods in Financial Models.- Hedging with residual risk: a BSDE approach.- Auto-tail dependence coefficients for stationary solutions of linear stochastic recurrence equations and for GARCH(1, 1).- The clean development mechanism and joint price formation for allowances and CERs.- Optimal investment problems with marked point processes.- Doubly stochastic CDO term structures.- A framework for dynamic hedging under convex risk measures.- On the stability of prices of contingent claims in incomplete models under statistical estimations.- Analyzing the fine structure of continous time stochastic processes.
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