The aim of this volume is to make accessible the papers presented at the 10th Winterschool on Stochastic Processes in Siegmundsburg, Germany in March 1994. The text focuses upon problems in present research in stochastic processes and related topics. The papers include recent developments in stochastic processes, especially in stochastic analysis, applications to finance mathematics, Markov processes and diffusion processes, stochastic differential equations and stochastic partial differential equations.
Sprache
Verlagsort
Zielgruppe
Für höhere Schule und Studium
Für Beruf und Forschung
Maße
Höhe: 235 mm
Breite: 156 mm
Gewicht
ISBN-13
978-2-88449-078-8 (9782884490788)
Copyright in bibliographic data is held by Nielsen Book Services Limited or its licensors: all rights reserved.
Schweitzer Klassifikation
Autor*in
Auburn Engineering, Auburn, Alabama, USA
Generalized ito formula and derivation of Bellman's equation; robustness of hedging strategies for European options; on the laws of orthogonal projectors on Eigenspaces of Lyapunov exponents of linear stochastic differential equations; generalized second order partial differential operators in analysis and probability; on the limit of stochastic integrals of differential forms; asymptotic properties of stochastic equations with boundary and pointwise noise; the Follmer-Schweizer decomposition; the stochastic maximum principle; a brief survey and an application; Sobolov spaces of functions in a medium with semi-transparent diaphragms; anticipative Stratonovich equation via Zvonkin method; on continuous-time models of term structure of interest rates; pricing options by dynamic programming; list of participants; list of talks.
