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Frontiers in Stochastic Analysis–BSDEs, SPDEs and their Applications: Edinburgh, July 2017 Selected, Revised and Extended Contributions de Samuel N. Cohen

Frontiers in Stochastic Analysis–BSDEs, SPDEs and their Applications: Edinburgh, July 2017 Selected, Revised and Extended Contributions: Springer Proceedings in Mathematics & Statistics, cartea 289

Editat de Samuel N. Cohen, István Gyöngy, Gonҫalo dos Reis, David Siska, Łukasz Szpruch
en Limba Engleză Paperback – 2 sep 2020
This collection of selected, revised and extended contributions resulted from a Workshop on BSDEs, SPDEs and their Applications that took place in Edinburgh, Scotland, July 2017 and included the 8th World Symposium on BSDEs. 
The volume addresses recent advances involving backward stochastic differential equations (BSDEs) and stochastic partial differential equations (SPDEs). These equations are of fundamental importance in modelling of biological, physical and economic systems, and underpin many problems in control of random systems, mathematical finance, stochastic filtering and data assimilation. The papers in this volume seek to understand these equations, and to use them to build our understanding in other areas of mathematics.
This volume will be of interest to those working at the forefront of modern probability theory, both established researchers and graduate students.

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Specificații

ISBN-13: 9783030222871
ISBN-10: 303022287X
Pagini: 300
Ilustrații: IX, 300 p. 43 illus., 11 illus. in color.
Dimensiuni: 155 x 235 mm
Ediția:1st ed. 2019
Editura: Springer International Publishing
Colecția Springer
Seria Springer Proceedings in Mathematics & Statistics

Locul publicării:Cham, Switzerland

Cuprins

Preface.- Dirk Becherer, Martin Büttner, Klebert Kentia, On the monotone stability approach to BSDEs with jumps: Extensions, concrete criteria and examples.- Mireille Bossy, Jean-Franҫois Jabir, On the wellposedness of some McKean models with moderated or singular diffusion coefficient.- Philippe Briand, Adrien Richou, On the uniqueness of solutions to quadratic BSDEs with non-convex generators.- Antonella Calzolari, Barbara Torti, An example of martingale representation in progressive enlargement by an accessible random time.- Samuel N. Cohen, Martin Tegner, European option pricing with stochastic volatility models under parameter uncertainty.- Nicole El Karoui, Caroline Hillairet, Mohamed Mrad, Construction of an aggregate consistent utility, without Pareto optimality. Application to Long-Term yield curve modeling.- Monique Jeanblanc, Dongli Wu, BSDEs and enlargement of filtration.- Gonҫcalo dos Reis, Greig Smith, An unbiased Itô type stochastic representation for transport PDEs: A toy example.- Mauro Rosestolato, Path-dependent SDEs in Hilbert spaces.

Textul de pe ultima copertă

This collection of selected, revised and extended contributions resulted from a Workshop on BSDEs, SPDEs and their Applications that took place in Edinburgh, Scotland, July 2017 and included the 8th World Symposium on BSDEs. 
The volume addresses recent advances involving backward stochastic differential equations (BSDEs) and stochastic partial differential equations (SPDEs). These equations are of fundamental importance in modelling of biological, physical and economic systems, and underpin many problems in control of random systems, mathematical finance, stochastic filtering and data assimilation. The papers in this volume seek to understand these equations, and to use them to build our understanding in other areas of mathematics.
This volume will be of interest to those working at the forefront of modern probability theory, both established researchers and graduate students.

Caracteristici

Pays attention to the interaction of the both research areas on backward stochastic differential equations (BSDEs) and on stochastic partial differential equations (SPDEs) Provides new insights and approaches Written by experts in the field