Stochastic Processes and Related Topics
1st Edition
Will be published approx. on 9. February 1996
Book
Hardback
182 pages
978-2-88449-069-6 (ISBN)
Description
The aim of this volume is to make accessible to a greater audience papers given at the 10th Winterschool on Stochastic Processes in Siegmundsburg, Germany, March 1994. The papers include developments in stochastic analysis, applications to finance mathematics, Markov processes and diffusion processes, stochastic differential equations and stochastic partial differential equations.
More details
Series
Language
English
Place of publication
London
United Kingdom
Target group
College/higher education
Professional and scholarly
Dimensions
Height: 229 mm
Width: 152 mm
Weight
485 gr
ISBN-13
978-2-88449-069-6 (9782884490696)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Person
Jeff Englebert (Author)
Content
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 on an infinite-dimensional domain; diffusion 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.