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Seminar on Stochastic Analysis, Random Fields and Applications III: Centro Stefano Franscini, Ascona, September 1999: Progress in Probability, cartea 52

Editat de Robert C. Dalang, Marco Dozzi, Francesco Russo
en Limba Engleză Hardback – apr 2002

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Specificații

ISBN-13: 9783764367213
ISBN-10: 3764367210
Pagini: 328
Ilustrații: XVII, 302 p.
Dimensiuni: 155 x 235 x 23 mm
Greutate: 0.63 kg
Ediția:2002
Editura: Birkhäuser Basel
Colecția Birkhäuser
Seria Progress in Probability

Locul publicării:Basel, Switzerland

Public țintă

Research

Cuprins

Light, atoms, and singularities.- How random are random walks ?.- Classical solutions for SPDEs with Dirichlet boundary conditions.- Credit Risk: The structural approach revisited.- Classical solutions for Kolmogorov equations in Hilbert spaces.- Monotone gradient systems in L2spaces.- Catalytic and mutually catalytic super-brownian motions.- Sticky particles, scalar conservation law and pressureless gas equations.- Affine short rate models.- A filtered EM algorithm for parameter estimation in linear filtering.- Instability of a quantum particle induced by a randomly varying spring coefficient.- On the superreplication approach for European interest rates derivatives.- A complete market model with Poisson and Brownian components.- Stochastic calculus and processes in non-commutative space-time.- A measure-valued process related to the parabolic Anderson model.- Homogenization of PDEs with non linear boundary condition.- A Bayesian adaptative control approach to risk management in a binomial model.- Hölder continuity for the stochastic heat equation with spatially correlated noise.- Regularity conditions for parabolic SPDEs on Lie groups.- Forward integrals and stochastic differential equations.