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Conference Seminar on Stochastic Analysis, Random Fields, and Applications (7th : 2011 : Centro Stefano Franscini, Ascona)
Title Seminar on Stochastic Analysis, Random Fields and Applications VII : Centro Stefano Franscini, Ascona, May 2011 / edited by Robert Dalang, Marco Dozzi, Francesco Russo.
Imprint Basel : Birkhauser, 2013.

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Conference Seminar on Stochastic Analysis, Random Fields, and Applications (7th : 2011 : Centro Stefano Franscini, Ascona)
Series Progress in probability ; 67
Progress in probability ; 67.
Subject Stochastic analysis -- Congresses.
Random fields -- Congresses.
Alt Name Centro Stefano Franscini,
Description 1 online resource.
polychrome rdacc
Contents Part I: Stochastic Analysis and Random Fields. Recent Advances Related to SPDEs with Fractional Noise / Raluca M. Balan -- On Chaos Representation and Orthogonal Polynomials for the Doubly Stochastic Poisson Process / Giulia Di Nunno, Steffen Sjursen -- General Upper and Lower Tail Estimates Using Malliavin Calculus and Stein's Equations / Richard Eden, Frederi Viens -- Uniqueness and Absolute Continuity for Semilinear SPDE's / Benedetta Ferrario -- Rate of Convergence of Wong-Zakai Approximations for Stochastic Partial Differential Equations / Istvan Gyongy, Pablo Raul Stinga -- Weak Approximations for SDE's Driven by Levy Processes / Arturo Kohatsu-Higa, Hoang-Long Ngo -- Ito's Formula for Banach-space-valued Jump Processes Driven by Poisson Random Measures / Vidyadhar Mandrekar, Barbara Rudiger, Stefan Tappe -- Well-posedness for a Class of Dissipative Stochastic Evolution Equations with Wiener and Poisson Noise / Carlo Marinelli -- Localization of Relative Entropy in Bose-Einstein Condensation of Trapped Interacting Bosons / Laura M. Morato, Stefania Ugolini -- Multi-dimensional Semicircular Limits on the Free Wigner Chaos / Ivan Nourdin, Giovanni Peccati, Roland Speicher -- Malliavin Calculus for Stochastic Point Vortex and Lagrangian Models / Sivaguru S. Sritharan, Meng Xu -- Two Remarks on the Wasserstein Dirichlet Form / Wilhelm Stannat -- Erratum / Arturo Kohatsu-Higa, Jose Manuel Corcuera -- Part II: Stochastic Methods in Financial Models. Stochastic Modeling of Power Markets Using Stationary Processes / Fred Espen Benth, Heidar Eyjolfsson -- Evaluating Hybrid Products: The Interplay Between Financial and Insurance Markets / Francesca Biagini -- f-Divergence Minimal Equivalent Martingale Measures and Optimal Portfolios for Exponential Levy Models with a Change-point / S. Cawston, L. Vostrikova -- Optimal Investment-consumption for Partially Observed Jump-diffusions / Claudia Ceci -- Stochastic Control and Pricing Under Swap Measures / R. Cogo, A. Gombani, W.J. Runggaldier -- Affine Variance Swap Curve Models / Damir Filipovic -- Efficient Second-order Weak Scheme for Stochastic Volatility Models / Benjamin Jourdain, Mohamed Sbai -- Bid-Ask Spread Modelling, a Perturbation Approach / Thomas Lim, Vathana Ly Vath, Jean-Michel Sahut, Simone Scotti -- Optimal Portfolio in a Regime-switching Model / Adrian Roy L. Valdez, Tiziano Vargiolu -- Part III: Public Lecture. Can there Be Excessive Mathematization of the World? / Nicolas Bouleau.
Foreword -- Public lecture by N. Bouleau, Can there be excessive mathematization of the world? -- Part I: Stochastic analysis and random fields R. Balan, Recent advances related to SPDEs with fractional noise -- G. Di Nunno, S. Sjursen, On chaos representation and orthogonal polynomials for the doubly stochastic Poisson process -- R. Eden, F. Viens, General upper and lower tail estimates using Malliavin calculus and Stein's equations -- B. Ferrario, Uniqueness and absolute continuity for semilinear SPDE's -- I. Gyngy, P.R. Stinga, Rate of convergence of Wong-Zakai approximations for SPDEs -- A. Kohatsu-Higa, H -- L. Ngo, Weak approximations for SDE's driven by Lvy processes -- V. Mandrekar, B. Ruediger, S. Tappe, It's formula for Banach space valued jump processes driven by Poisson random measures -- C. Marinelli, Well-posedness for a class of dissipative stochastic evolution equations with Wiener and Poisson noise -- L.M. Morato, S. Ugolini, Localization of relative entropy in Bose-Einstein condensation of trapped interacting bosons -- I. Nourdin, G. Peccati, R. Speicher, Multidimensional semicircular limits on the free Wigner chaos -- S.S. Sritharan and M. Xu, Malliavin Calculus for stochastic point vortex and Lagrangian models -- W. Stannat, Two remarks on the Wasserstein Dirichlet form -- J. Manuel, Erratum -- Part II: Stochastic methods in financial models F. Biagini, Evaluating hybrid products: the interplay between financial and insurance markets -- F.E. Benth, H. Eyjolfsson, Stochastic modeling of power markets using stationary processes -- S. Cawston, L. Vostrikova, F-divergence minimal equivalent martingale measures and optimal portfolios for exponential Lvy models with a change-point -- C. Ceci, Optimal investment-consumption for partially observed jump-diffusions -- R. Cogo, A. Gombani, W.J. Runggaldier, Stochastic control and pricing under swap measures -- D. Filipovic, Variance swap curve models -- B. Jourdain, M. Sbai. Efficient second order weak scheme for stochastic volatility models -- T. Lim, V. Ly Vath, J -- M. Sahut, S. Scotti, Bid-ask spread modelling, a perturbation approach -- A.R.L. Valdez, T. Vargiolu, Optimal portfolio in a regime-switching model.
Summary This book presents refereed research or review articles presented at the 7th Seminar on Stochastic Analysis, Random Fields and Applications, which was held at the Centro Stefano Franscini (Monte Verit) in Ascona, Switzerland, in May 2011. The seminar mainly focused on: stochastic (partial) differential equations, especially with regard to jump processes, construction of solutions and approximations Malliavin calculus and Stein methods, and other techniques in stochastic analysis, especially chaos representations and convergence, and applications to models of interacting particle systems stochastic methods in financial models, especially models for power markets or for risk analysis, empirical estimation and approximation, stochastic control and optimal pricing. The notes of the public lecture held by Nicolas Bouleau on the fundamental question of whether there can be an excessive mathematization of the world in an economic context are also included. The book will be a valuable resource for researchers working in stochastic analysis and for professionals interested in stochastic methods in finance. Contributors: R. Balan F.E. Benth F. Biagini N. Bouleau S. Cawston C. Ceci R. Cogo G. Di Nunno R. Eden H. Eyjolfsson B. Ferrario D. Filipovic A. Gombani I. Gyngy B. Jourdain A. Kohatsu-Higa T. Lim V. Ly Vath V. Mandrekar C. Marinelli L.M. Morato H.-L. Ngo I. Nourdin G. Peccati B. Rdiger W.J. Runggaldier J.-M. Sahut M. Sbai S. Scotti S. Sjursen R. Speicher S.S. Sritharan W. Stannat P.R. Stinga S. Tappe S. Ugolini A.R.L. Valdez T. Vargiolu F. Viens L. Vostrikova M. Xu.
Bibliography Note Includes bibliographical references.
Note Print version record.
ISBN 9783034805452 (electronic bk.)
3034805454 (electronic bk.)
ISBN/ISSN 10.1007/978-3-0348-0545-2
OCLC # 858278641
Additional Format Print version: Seminar on Stochastic Analysis, Random Fields, and Applications (7th : 2011 : Centro stefano Franscini, Ascona). Seminar on Stochastic Analysis, Random Fields and Applications VII 9783034805445 (OCoLC)857525273

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