Volume 2 2007

Stochastic Analysis and Applications

The Abel Symposium 2005

ISBN: 978-3-540-70846-9 (Print) 978-3-540-70847-6 (Online)

Table of contents (30 chapters)

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  1. Front Matter

    Pages I-XI

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    Book Chapter

    Pages 1-6

    Memoirs of My Research on Stochastic Analysis

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    Book Chapter

    Pages 7-51

    Itô Calculus and Quantum White Noise Calculus

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    Pages 53-72

    Homogenization of Diffusions on the Lattice Zd with Periodic Drift Coefficients, Applying a Logarithmic Sobolev Inequality or a Weak Poincaré Inequality

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    Pages 73-91

    Theory and Applications of Infinite Dimensional Oscillatory Integrals

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    Pages 93-124

    Ambit Processes; with Applications to Turbulence and Tumour Growth

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    Pages 125-151

    A Stochastic Control Approach to a Robust Utility Maximization Problem

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    Book Chapter

    Pages 153-196

    Extending Markov Processes in Weak Duality by Poisson Point Processes of Excursions

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    Pages 197-217

    Hedging with Options in Models with Jumps

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    Pages 219-234

    Power Variation Analysis of Some Integral Long-Memory Processes

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    Pages 235-263

    Kolmogorov Equations for Stochastic PDE's with Multiplicative Noise

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    Pages 265-307

    Stochastic Integrals and Adjoint Derivatives

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    Book Chapter

    Pages 309-325

    An Application of Probability to Nonlinear Analysis

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    Pages 327-337

    The Space of Stochastic Differential Equations

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    Pages 339-359

    Extremes of supOU Processes

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    Pages 361-382

    Gaussian Bridges

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    Pages 383-397

    Some of the Recent Topics on Stochastic Analysis

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    Pages 399-413

    Differential Equations Driven by Hölder Continuous Functions of Order Greater than 1/2

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    Pages 415-434

    On Asymptotics of Banach Space-valued Itô Functionals of Brownian Rough Paths

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    Book Chapter

    Pages 435-459

    Continuous-Time Markowitz's Problems in an Incomplete Market, with No-Shorting Portfolios

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    Book Chapter

    Pages 461-491

    Quantum and Classical Conserved Quantities: Martingales, Conservation Laws and Constants of Motion

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