Seminar on Stochastic Analysis, Random Fields and Applications VI: Centro Stefano Franscini, Ascona, May 2008

✍ Scribed by Sergio Albeverio, Sonia Mazzucchi (auth.), Robert Dalang, Marco Dozzi, Francesco Russo (eds.)

• Publisher: Springer Basel
• Year: 2011
• Tongue: English
• Leaves: 505
• Series: Progress in Probability 63
• Edition: 1st Edition.
• Category: Library

✦ Synopsis

This volume contains refereed research or review papers presented at the 6th Seminar on Stochastic Processes, Random Fields and Applications, which took place at the Centro Stefano Franscini (Monte Verit� ) in Ascona, Switzerland, in May 2008. The seminar focused mainly on stochastic partial differential equations, especially large deviations and control problems, on infinite dimensional analysis, particle systems and financial engineering, especially energy markets and climate models.

The book will be a valuable resource for researchers in stochastic analysis and professionals interested in stochastic methods in finance.

Contributors:

S. Albeverio

S. Ankirchner

V. Bogachev

R. Brummelhuis

Z. Brzeźniak

R. Carmona

C. Ceci

J.M. Corcuera

A.B. Cruzeiro

G. Da Prato

M. Fehr

D. Filipović

B. Goldys

M. Hairer

E. Hausenblas

F. Hubalek

H. Hulley

P. Imkeller

A. Jakubowski

A. Kohatsu-Higa

A. Kovaleva

E. Kyprianou

C. Léonard

J. Lörinczi

A. Malyarenko

B. Maslowski

J.C. Mattingly

S. Mazzucchi

L. Overbeck

E. Platen

M. Röckner

M. Romito

T. Schmidt

R. Sircar

W. Stannat

K.-T. Sturm

A. Toussaint

L. Vostrikova

J. Woerner

Y. Xiao

J.-C. Zambrini

✦ Table of Contents

Content:
Front Matter....Pages i-xi
Front Matter....Pages 1-1
The Trace Formula for the Heat Semigroup with Polynomial Potential....Pages 3-21
Existence Results for Fokker–Planck Equations in Hilbert Spaces....Pages 23-35
Uniqueness in Law of the Itô Integral with Respect to Lévy Noise....Pages 37-57
Statistical Inference and Malliavin Calculus....Pages 59-82
Hydrodynamics, Probability and the Geometry of the Diffeomorphisms Group....Pages 83-93
On Stochastic Ergodic Control in Infinite Dimensions....Pages 95-107
Yet Another Look at Harris’ Ergodic Theorem for Markov Chains....Pages 109-117
Old and New Examples of Scale Functions for Spectrally Negative Lévy Processes....Pages 119-145
A Visual Criterion for Identifying Itô Diffusions as Martingales or Strict Local Martingales....Pages 147-157
Are Fractional Brownian Motions Predictable?....Pages 159-165
Control of Exit Time for Lagrangian Systems with Weak Noise....Pages 167-176
A Probabilistic Deformation of Calculus of Variations with Constraints....Pages 177-189
Exponential Integrability and DLR Consistence of Some Rough Functionals....Pages 191-208
A Family of Series Representations of the Multiparameter Fractional Brownian Motion....Pages 209-226
The Martingale Problem for Markov Solutions to the Navier-Stokes Equations....Pages 227-244
Functional Inequalities for the Wasserstein Dirichlet Form....Pages 245-260
Entropic Measure on Multidimensional Spaces....Pages 261-277
Properties of Strong Local Nondeterminism and Local Times of Stable Random Fields....Pages 279-308
Front Matter....Pages 309-309
Hedging with Residual Risk: A BSDE Approach....Pages 311-325
Auto-tail Dependence Coefficients for Stationary Solutions of Linear Stochastic Recurrence Equations and for GARCH(1,1)....Pages 327-339
Front Matter....Pages 309-309
The Clean Development Mechanism and Joint Price Formation for Allowances and CERs....Pages 341-383
Optimal Investment Problems with Marked Point Processes....Pages 385-412
Doubly Stochastic CDO Term Structures....Pages 413-428
A Framework for Dynamic Hedging under Convex Risk Measures....Pages 429-451
On the Stability of Prices of Contingent Claims in Incomplete Models Under Statistical Estimations....Pages 453-471
Analyzing the Fine Structure of Continuous Time Stochastic Processes....Pages 473-492