Seminar on Stochastic Analysis, Random Fields and Applications: Centro Stefano Franscini, Ascona, September 1996

✍ Scribed by Emilio Barucci, Fausto Gozzi (auth.), Robert C. Dalang, Marco Dozzi, Francesco Russo (eds.)

• Publisher: Birkhäuser Basel
• Year: 1999
• Tongue: English
• Leaves: 299
• Series: Progress in Probability 45
• Edition: 1
• Category: Library

✦ Synopsis

This volume contains 20 refereed research or review papers presented at the six-day Second Seminar on Stochastic Analysis, Random Fields and Applications which took place at the Centro Stefano Franscini (Monte Veritá) in Ascona, Switzerland, from September 16 to 21, 1996. The seminar focused on three topics: stochastic analysis, with an emphasis on stochastic partial differential equations and measure-valued diffusions; applications of stochastic analysis to the engineering sciences; and financial modelling. The third topic was the subject of a minisymposium on stochastic methods in financial models.

✦ Table of Contents

Front Matter....Pages i-x
On a Semigroup Approach to No-arbitrage Pricing Theory....Pages 1-14
Generalized Random Vector Fields and Euclidean Quantum Vector Fields....Pages 15-24
Central Limit Theorem for the Local Time of a Gaussian Process....Pages 25-37
Explicit Solutions of Some Fourth Order Partial Differential Equations via Iterated Brownian Motion....Pages 39-61
A Microscopic Model of Phase Field Type....Pages 63-71
Ergodic Backward SDE and Associated PDE....Pages 73-85
Statistical Manifolds, Self-Parallel Curves and Learning Processes....Pages 87-99
Law of Iterated Logarithm for Parabolic SPDEs....Pages 101-123
Random Production Flows. An Exactly Solvable Fluid Model....Pages 125-135
A Compactness Principle for Bounded Sequences of Martingales with Applications....Pages 137-173
Risk Minimizing Hedging Strategies Under Partial Observation....Pages 175-188
Multiparameter Markov Processes and Capacity....Pages 189-200
Iterated Brownian Motion and its Intrinsic Skeletal Structure....Pages 201-210
Heavy Traffic and Optimal Control Methods for a Communications System....Pages 211-230
Stochastic Wess-Zumino-Witten Model for the Measure of Kontsevitch....Pages 231-247
Independence of a Class of Multiple Stochastic Integrals....Pages 249-259
Existence of Invariant Measures for Diffusion Processes on Banach Spaces....Pages 261-265
On Some New Type of Infinite Dimensional Laplacians....Pages 267-274
Stochastic PDE’s of Schrödinger Type and Stochastic Mehler Kernels — a Path Integral Approach....Pages 275-282
Probability and Quantum Symmetries in a Riemannian Manifold....Pages 283-300

✦ Subjects

Mathematics, general