Volume 63 2011

Seminar on Stochastic Analysis, Random Fields and Applications VI

Centro Stefano Franscini, Ascona, May 2008

Editors:

ISBN: 978-3-0348-0020-4 (Print) 978-3-0348-0021-1 (Online)

Table of contents (26 chapters)

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  1. Front Matter

    Pages i-xi

  2. Stochastic Analysis and Random Fields

    1. Front Matter

      Pages 1-1

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      Pages 3-21

      The Trace Formula for the Heat Semigroup with Polynomial Potential

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      Pages 23-35

      Existence Results for Fokker–Planck Equations in Hilbert Spaces

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      Pages 37-57

      Uniqueness in Law of the Itô Integral with Respect to Lévy Noise

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      Pages 59-82

      Statistical Inference and Malliavin Calculus

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      Pages 83-93

      Hydrodynamics, Probability and the Geometry of the Diffeomorphisms Group

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      Book Chapter

      Pages 95-107

      On Stochastic Ergodic Control in Infinite Dimensions

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      Pages 109-117

      Yet Another Look at Harris’ Ergodic Theorem for Markov Chains

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      Pages 119-145

      Old and New Examples of Scale Functions for Spectrally Negative Lévy Processes

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      Pages 147-157

      A Visual Criterion for Identifying Itô Diffusions as Martingales or Strict Local Martingales

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      Pages 159-165

      Are Fractional Brownian Motions Predictable?

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      Pages 167-176

      Control of Exit Time for Lagrangian Systems with Weak Noise

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      Pages 177-189

      A Probabilistic Deformation of Calculus of Variations with Constraints

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      Pages 191-208

      Exponential Integrability and DLR Consistence of Some Rough Functionals

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      Pages 209-226

      A Family of Series Representations of the Multiparameter Fractional Brownian Motion

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      Pages 227-244

      The Martingale Problem for Markov Solutions to the Navier-Stokes Equations

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      Pages 245-260

      Functional Inequalities for the Wasserstein Dirichlet Form

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      Pages 261-277

      Entropic Measure on Multidimensional Spaces

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      Pages 279-308

      Properties of Strong Local Nondeterminism and Local Times of Stable Random Fields

  3. Stochastic Methods in Financial Models

    1. Front Matter

      Pages 309-309

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      Book Chapter

      Pages 311-325

      Hedging with Residual Risk: A BSDE Approach

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      Book Chapter

      Pages 327-339

      Auto-tail Dependence Coefficients for Stationary Solutions of Linear Stochastic Recurrence Equations and for GARCH(1,1)

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