Stochastic Processes and Related Topics
Proceedings of the 12th Winter School, Siegmundsburg (Germany), February 27-March 4, 2000
Published on 16. May 2002
296 pages
978-1-040-21548-7 (ISBN)
Description
This volume comprises selected papers presented at the 12th Winter School on Stochastic Processes and their Applications, which was held in Siegmundsburg, Germany, in March 2000. The contents include Backward Stochastic Differential Equations; Semilinear PDE and SPDE; Arbitrage Theory; Credit Derivatives and Models for Correlated Defaults; Three In
More details
Language
English
Place of publication
London
United Kingdom
Publishing group
Taylor & Francis Ltd
Target group
Professional and scholarly
File size
2,21 MB
ISBN-13
978-1-040-21548-7 (9781040215487)
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
Other editions
Additional editions
Rainer Buckdahn | Hans J. Engelbert | Marc Yor
Stochastic Processes and Related Topics
Proceedings of the 12th Winter School, Siegmundsburg (Germany), February 27-March 4, 2000
Book
09/2019
1st Edition
CRC Press
€96.00
Shipment within 15-20 days
Rainer Buckdahn | Hans J. Engelbert | Marc Yor
Stochastic Processes and Related Topics
Proceedings of the 12th Winter School, Siegmundsburg (Germany), February 27-March 4, 2000
Book
05/2002
1st Edition
CRC Press
€178.27
Article not available at the moment
Persons
Rainer Buckdahn, Hans J. Engelbert, Marc Yor
Content
Backward Stochastic Differential Equations and Viscosity Solutions of Semi-Linear Parabolic Deterministic and Stochastic PDE of Second Order. Isolated Singular Points of Stochastic Differential Equations. On One-Dimensional Stochastic Equations Driven by Symmetric Stable Processes. Integral Functionals of Strong Markov Continuous Local Martingales. Approximation of Stochastic Integrals. Minimal Distance Martingale Measures and Optimal Portfolios Consistent with Observed Market Prices. On Generalized x-Diffusions. Portfolio Optimizations with Transaction Costs and Exponential Utility. A Semi-martingale Backward Equation Related to the p-Optimal Martingale Measure and the Lower Price of a Contingent Claim. Subordinators Related to the Exponential Functionals of Brownian Bridges and Explicit Formulae for the Semigroups of Hyperbolic Brownian Motions. First Passage Time Structural Models with Interest Rate Risk. Pricing Options for Markovian Models. Three Intertwined Brownian Topics: Exponential Functionals, Winding Numbers, and Ray-Knight Theorems on Local Times.
