Seminar on Stochastic Analysis, Random Fields and Applications VII: Centro Stefano Franscini, Ascona, May 2011

✍ Scribed by Robert C. Dalang, Marco Dozzi, Francesco Russo (eds.)

• Publisher: Birkhäuser
• Year: 2013
• Tongue: English
• Leaves: 470
• Series: Progress in Probability 67
• Category: Library

✦ Synopsis

This volume contains refereed research or review articles presented at the 7th Seminar on Stochastic Analysis, Random Fields and Applications which took place at the Centro Stefano Franscini (Monte Verità) in Ascona , Switzerland, in May 2011. The seminar focused mainly on: - stochastic (partial) differential equations, especially with jump processes, construction of solutions and approximations - Malliavin calculus and Stein methods, and other techniques in stochastic analysis, especially chaos representations and convergence, and applications to  models of interacting particle systems - stochastic methods in financial models, especially models for power markets or for risk analysis, empirical estimation and approximation, stochastic control and optimal pricing. The book will be a valuable resource for researchers in stochastic analysis and for professionals interested in stochastic methods in finance.​

✦ Table of Contents

Content:
Front Matter....Pages i-xvi
Front Matter....Pages 1-1
Recent Advances Related to SPDEs with Fractional Noise....Pages 3-22
On Chaos Representation and Orthogonal Polynomials for the Doubly Stochastic Poisson Process....Pages 23-54
General Upper and Lower Tail Estimates Using Malliavin Calculus and Stein’s Equations....Pages 55-84
Uniqueness and Absolute Continuity for Semilinear SPDE’s....Pages 85-94
Rate of Convergence of Wong–Zakai Approximations for Stochastic Partial Differential Equations....Pages 95-130
Weak Approximations for SDE’s Driven by Lévy Processes....Pages 131-169
Itô’s Formula for Banach-space-valued Jump Processes Driven by Poisson Random Measures....Pages 171-186
Well-posedness for a Class of Dissipative Stochastic Evolution Equations with Wiener and Poisson Noise....Pages 187-196
Localization of Relative Entropy in Bose–Einstein Condensation of Trapped Interacting Bosons....Pages 197-210
Multi-dimensional Semicircular Limits on the Free Wigner Chaos....Pages 211-221
Malliavin Calculus for Stochastic Point Vortex and Lagrangian Models....Pages 223-233
Two Remarks on the Wasserstein Dirichlet Form....Pages 235-255
Erratum....Pages 257-257
Front Matter....Pages 259-259
Stochastic Modeling of Power Markets Using Stationary Processes....Pages 261-284
Evaluating Hybrid Products: The Interplay Between Financial and Insurance Markets....Pages 285-304
Optimal Investment-consumption for Partially Observed Jump-diffusions....Pages 305-336
Stochastic Control and Pricing Under Swap Measures....Pages 337-361
Affine Variance Swap Curve Models....Pages 363-379
Efficient Second-order Weak Scheme for Stochastic Volatility Models....Pages 381-393
Front Matter....Pages 395-410
Bid-Ask Spread Modelling, a Perturbation Approach....Pages 259-259
Optimal Portfolio in a Regime-switching Model....Pages 411-434
Front Matter....Pages 435-449
Can there Be Excessive Mathematization of the World?....Pages 451-451
....Pages 453-469

✦ Subjects

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