Seminar on Stochastic Analysis, Random Fields and Applications: Centro Stefano Franscini, Ascona, 1993

✍ Scribed by Robert Aebi (auth.), Erwin Bolthausen, Marco Dozzi, Francesco Russo (eds.)

• Publisher: Birkhäuser Basel
• Year: 1995
• Tongue: English
• Leaves: 391
• Series: Progress in Probability 36
• Edition: 1
• Category: Library

✦ Synopsis

Pure and applied stochastic analysis and random fields form the subject of this book. The collection of articles on these topics represent the state of the art of the research in the field, with particular attention being devoted to stochastic models in finance. Some are review articles, others are original papers; taken together, they will apprise the reader of much of the current activity in the area.

✦ Table of Contents

Front Matter....Pages i-x
Propagation of Chaos — The Inverse Problem....Pages 1-25
A Remark on Stochastic Dynamics on the Infinite-Dimensional Torus....Pages 27-35
Diffusion-Approximation for the Advection-Diffusion of a Passive Scalar by a Space-Time Gaussian Velocity Field....Pages 37-49
A New Space of White Noise Distributions and Applications to Spde’s....Pages 51-66
Dissipativity of Three-Dimensional Stochastic Navier-Stokes Equation....Pages 67-76
Bernstein Diffusions and Euclidean Quantum Field Theory....Pages 77-97
A Fubini Theorem for Generalized Stratonovich Integrals....Pages 99-110
Large Deviations via Parameter Dependent Change of Measure, and an Application to the Lower Tail of Gaussian Processes....Pages 111-121
An Equation Modelling Transport of a Substance in a Stochastic Medium....Pages 123-134
Stochastic Representation of Unitary Quantum Evolution....Pages 135-149
Critical Dimensions for the Existence of Self-Intersection Local Times of the Brownian Sheet in ℝ d ....Pages 151-168
Density Estimates for Stochastic Partial Differential Equations....Pages 169-186
Almost Sure Convergence of Stochastic Differential Equations of Jump-Diffusion Type....Pages 187-197
Applications and Foundations of Quasi Sure Analysis....Pages 199-203
A Duality Formula on the Poisson Space and Some Applications....Pages 205-213
Generalized Functions and Stochastic Processes....Pages 215-229
On the Geometry Defined by Dirichlet Forms....Pages 231-242
Random Brownian Scaling and Some Absolute Continuity Relationships....Pages 243-252
Recent Progress in the Hypercontractive Semigroups....Pages 253-262
Front Matter....Pages 263-263
Alternative Estimators of a Diffusion Model of the Term Structure of Interest Rates. A Monte Carlo Comparison....Pages 265-306
Front Matter....Pages 263-263
Backward Stochastic Differential Equations. Option Hedging under Additional Cost....Pages 307-318
Componentwise and Vector Stochastic Integration with Respect to Certain Multi-Dimensional Continuous Local Martingales....Pages 319-325
Stock Price Returns and the Joseph Effect: A Fractional Version of the Black-Scholes Model....Pages 327-351
Critical Price for an American Option near Maturity....Pages 353-358
Hedging of Options under Discrete Observation on Assets with Stochastic Volatility....Pages 359-364
Convergence of Option Values under Incompleteness....Pages 365-384
Portfolio Selection with Transaction Costs....Pages 385-391
Back Matter....Pages 392-394

✦ Subjects

Probability Theory and Stochastic Processes; Economic Theory