Title | Seminar on Stochastic Analysis, Random Fields and Applications [electronic resource] : Centro Stefano Franscini, Ascona, 1993 / edited by Erwin Bolthausen, Marco Dozzi, Francesco Russo |
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Imprint | Basel : Birkhรคuser Basel : Imprint: Birkhรคuser, 1995 |
Connect to | http://dx.doi.org/10.1007/978-3-0348-7026-9 |
Descript | X, 394 p. online resource |
Propagation of chaos โ the inverse problem -- A remark on stachastic dynamics on the infinite-dimensional torus -- Diffusion-approximation for the advection-diffusion of a passive scalar by a space-time Gaussian velocity field -- A new space of white noise distributions and applications to SPDEโs -- Dissipativity of three-dimensional stochastic Navier-Stokes equation -- Bernstein diffusions and Euclidean quantum field theory -- A Fubini theorem for generalized Stratonovich integrals -- Large deviations via parameter dependent change of measure, and an application to the lower tail of Gaussian processes -- An equation modelling transport of a substance in a stochastic medium -- Stochastic representation of unitary quantum evolution -- Critical dimensions for the existence of self-intersection local times of the Brownian sheet in ?d -- Density estimates for stochastic partial differential equations -- Almost sure convergence of stochastic differential equations of jump-diffusion type -- Applications and foundations of quasi sure analysis -- A duality formula on the Poisson space and some applications -- Generalized functions and stochastic processes -- On the geometry defined by Dirichlet forms -- Random Brownian scaling and some absolute continuity relationships -- Recent progress in the hypercontractive semigroups -- Financial models -- Alternative estimators of a diffusion model of the term structure of interest rates. A Monte Carlo comparison -- Backward stochastic differential equations. Option hedging under additional cost -- Componentwise and vector stochastic integration with respect to certain multi-dimensional continuous local martingales -- Stock price returns and the Joseph effect: A fractional version of the Black-Scholes model -- Critical price for an American option near maturity -- Hedging of options under discrete observation on assets with stochastic volatility -- Convergence of option values under incompleteness -- Portfolio selection with transaction costs