Book Volume 67 2013

Seminar on Stochastic Analysis, Random Fields and Applications VII

Centro Stefano Franscini, Ascona, May 2011


ISBN: 978-3-0348-0544-5 (Print) 978-3-0348-0545-2 (Online)

Table of contents (23 chapters)

previous Page of 2
  1. Front Matter

    Pages i-xvi

  2. Stochastic Analysis and Random Fields

    1. Front Matter

      Pages 1-1

    2. Chapter

      Pages 3-22

      Recent Advances Related to SPDEs with Fractional Noise

    3. Chapter

      Pages 23-54

      On Chaos Representation and Orthogonal Polynomials for the Doubly Stochastic Poisson Process

    4. Chapter

      Pages 55-84

      General Upper and Lower Tail Estimates Using Malliavin Calculus and Stein’s Equations

    5. Chapter

      Pages 85-94

      Uniqueness and Absolute Continuity for Semilinear SPDE’s

    6. Chapter

      Pages 95-130

      Rate of Convergence of Wong–Zakai Approximations for Stochastic Partial Differential Equations

    7. Chapter

      Pages 131-169

      Weak Approximations for SDE’s Driven by Lévy Processes

    8. Chapter

      Pages 171-186

      Itô’s Formula for Banach-space-valued Jump Processes Driven by Poisson Random Measures

    9. Chapter

      Pages 187-196

      Well-posedness for a Class of Dissipative Stochastic Evolution Equations with Wiener and Poisson Noise

    10. Chapter

      Pages 197-210

      Localization of Relative Entropy in Bose–Einstein Condensation of Trapped Interacting Bosons

    11. Chapter

      Pages 211-221

      Multi-dimensional Semicircular Limits on the Free Wigner Chaos

    12. Chapter

      Pages 223-233

      Malliavin Calculus for Stochastic Point Vortex and Lagrangian Models

    13. Chapter

      Pages 235-255

      Two Remarks on the Wasserstein Dirichlet Form

    14. Chapter

      Pages 257-257


  3. Stochastic Methods in Financial Models

    1. Front Matter

      Pages 259-259

    2. Chapter

      Pages 261-284

      Stochastic Modeling of Power Markets Using Stationary Processes

    3. Chapter

      Pages 285-304

      Evaluating Hybrid Products: The Interplay Between Financial and Insurance Markets

    4. Chapter

      Pages 305-336

      f-Divergence Minimal Equivalent Martingale Measures and Optimal Portfolios for Exponential Lévy Models with a Change-point

    5. Chapter

      Pages 337-361

      Optimal Investment-consumption for Partially Observed Jump-diffusions

    6. Chapter

      Pages 363-379

      Stochastic Control and Pricing Under Swap Measures

    7. Chapter

      Pages 381-393

      Affine Variance Swap Curve Models

    8. Chapter

      Pages 395-410

      Efficient Second-order Weak Scheme for Stochastic Volatility Models

previous Page of 2