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 WongZakai Approximations for Stochastic Partial Differential Equations / Istvan Gyongy, Pablo Raul Stinga  Weak Approximations for SDE's Driven by Levy Processes / Arturo KohatsuHiga, HoangLong Ngo  Ito's Formula for Banachspacevalued Jump Processes Driven by Poisson Random Measures / Vidyadhar Mandrekar, Barbara Rudiger, Stefan Tappe  Wellposedness for a Class of Dissipative Stochastic Evolution Equations with Wiener and Poisson Noise / Carlo Marinelli  Localization of Relative Entropy in BoseEinstein Condensation of Trapped Interacting Bosons / Laura M. Morato, Stefania Ugolini  Multidimensional 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 KohatsuHiga, 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  fDivergence Minimal Equivalent Martingale Measures and Optimal Portfolios for Exponential Levy Models with a Changepoint / S. Cawston, L. Vostrikova  Optimal Investmentconsumption for Partially Observed Jumpdiffusions / Claudia Ceci  Stochastic Control and Pricing Under Swap Measures / R. Cogo, A. Gombani, W.J. Runggaldier  Affine Variance Swap Curve Models / Damir Filipovic  Efficient Secondorder Weak Scheme for Stochastic Volatility Models / Benjamin Jourdain, Mohamed Sbai  BidAsk Spread Modelling, a Perturbation Approach / Thomas Lim, Vathana Ly Vath, JeanMichel Sahut, Simone Scotti  Optimal Portfolio in a Regimeswitching 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 WongZakai approximations for SPDEs  A. KohatsuHiga, 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, Wellposedness for a class of dissipative stochastic evolution equations with Wiener and Poisson noise  L.M. Morato, S. Ugolini, Localization of relative entropy in BoseEinstein 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, Fdivergence minimal equivalent martingale measures and optimal portfolios for exponential Lvy models with a changepoint  C. Ceci, Optimal investmentconsumption for partially observed jumpdiffusions  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, Bidask spread modelling, a perturbation approach  A.R.L. Valdez, T. Vargiolu, Optimal portfolio in a regimeswitching 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. KohatsuHiga 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.) 

9783034805445 

3034805446 
ISBN/ISSN 
10.1007/9783034805452 
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 
