Stochastic analysis and applications to finance : essays in honour of Jia-an Yan
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Bibliographic Information
Stochastic analysis and applications to finance : essays in honour of Jia-an Yan
（Interdisciplinary mathematical sciences, v. 13）
World Scientific, c2012
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Includes bibliographical references
Description and Table of Contents
Description
This volume is a collection of solicited and refereed articles from distinguished researchers across the field of stochastic analysis and its application to finance. The articles represent new directions and newest developments in this exciting and fast growing area. The covered topics range from Markov processes, backward stochastic differential equations, stochastic partial differential equations, stochastic control, potential theory, functional inequalities, optimal stopping, portfolio selection, to risk measure and risk theory.It will be a very useful book for young researchers who want to learn about the research directions in the area, as well as experienced researchers who want to know about the latest developments in the area of stochastic analysis and mathematical finance.
Table of Contents
- Web Markov Skeleton Processes
- Generalised Burgers Equations
- Backward Stochastic Differential Equations (BSDEs) Driven by Fractional Brownian Motion
- Measure Solutions of BSDEs with Generator of Quadratic Growth
- Parameter Estimates of Drift Brownian Motion
- Spectral Bounds on Feymann - Kac Semigroups
- Stochastic Analysis on Lie Group
- Potential Theory of Subordinate Brownian Motion
- Stochastic Control of Stochastic Partial Differential Equations with Delay
- and other papers.
by "Nielsen BookData"