Seminar on Stochastic Analysis, Random Fields and Applications III: Centro Stefano Franscini, Ascona, September 1999

✍ Scribed by O. E. Barndorff-Nielsen, F. E. Benth (auth.), Robert C. Dalang, Marco Dozzi, Francesco Russo (eds.)

• Publisher: Birkhäuser Basel
• Year: 2002
• Tongue: English
• Leaves: 309
• Series: Progress in Probability 52
• Edition: 1
• Category: Library

✦ Synopsis

This volume contains 20 refereed research or review papers presented at the five-day Third Seminar on Stochastic Analysis, Random Fields and Applications which took place at the Centro Stefano Franscini (Monte Verit� ) in Ascona, Switzerland, from September 20 to 24, 1999. The seminar focused on three topics: fundamental aspects of stochastic analysis, physical modeling, and applications to financial engineering. The third topic was the subject of a minisymposium on stochastic methods in financial models.

✦ Table of Contents

Front Matter....Pages i-xvii
Light, Atoms, and Singularities....Pages 1-18
How Random Are Random Walks?....Pages 19-31
Classical Solutions for SPDEs with Dirichlet Boundary Conditions....Pages 33-44
Credit Risk: The Structural Approach Revisited....Pages 45-53
Classical Solutions for Kolmogorov Equations in Hilbert Spaces....Pages 55-71
Monotone Gradient Systems in L 2 Spaces....Pages 73-88
Catalytic and Mutually Catalytic Super-Brownian Motions....Pages 89-110
Sticky Particles, Scalar Conservation Law and Pressureless Gas Equations....Pages 111-120
Affine Short Rate Models....Pages 121-132
A Filtered EM Algorithm for Parameter Estimation in Linear Filtering....Pages 133-152
Instability of a Quantum Particle Induced by a Randomly Varying Spring Coefficient....Pages 153-171
On the Superreplication Approach for European Interest Rates Derivatives....Pages 173-187
A Complete Market Model with Poisson and Brownian Components....Pages 189-204
Stochastic Calculus and Processes in Non-Commutative Space-Time....Pages 205-217
A Measure-Valued Process Related to the Parabolic Anderson Model....Pages 219-227
Homogenization of PDEs with Non Linear Boundary Condition....Pages 229-242
A Bayesian Adaptive Control Approach to Risk Management in a Binomial Model....Pages 243-258
Hölder Continuity for the Stochastic Heat Equation With Spatially Correlated Noise....Pages 259-268
Regularity Conditions for Parabolic SPDEs on Lie Groups....Pages 269-291
Forward Integrals and Stochastic Differential Equations....Pages 293-302

✦ Subjects

Probability Theory and Stochastic Processes;Statistics for Business/Economics/Mathematical Finance/Insurance;Quantum Physics