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Seminar on Stochastic Analysis, Random Fields and Applications IV

Centro Stefano Franscini, Ascona, May 2002

  • Robert C. Dalang
  • Marco Dozzi
  • Francesco Russo

Part of the Progress in Probability book series (PRPR, volume 58)

Table of contents

  1. Front Matter
    Pages i-xii
  2. Stochastic Analysis and Random Fields

    1. Front Matter
      Pages 1-1
    2. Robert J. Adler
      Pages 3-19
    3. Xavier Bardina, David Márquez-Carreras, Carles Rovira, Samy Tindel
      Pages 21-43
    4. Ana Bela Cruzeiro, Xicheng Zhang
      Pages 57-67
    5. J. A. Cuesta-Albertos, Mario Wschebor
      Pages 69-82
    6. Robert C. Dalang, Olivier Lévêque
      Pages 83-93
    7. Ian M. Davies, Aubrey Truman, Huaizhong Zhao
      Pages 95-110
    8. Mamadou Abdoul Diop, Etienne Pardoux
      Pages 111-128
    9. Franco Flandoli, Massimiliano Gubinelli
      Pages 129-139
    10. Peter Imkeller, Ilya Pavlyukevich
      Pages 141-154
    11. Stanisław Kwapień, Jan Rosiński
      Pages 155-163
    12. Rémi Léandre
      Pages 165-185
  3. Stochastic Methods in Financial Models

    1. Front Matter
      Pages 203-203
    2. Simone Deparis, Claude Martini
      Pages 205-219
    3. Jean-Pierre Fouque, George Papanicolaou, Ronnie Sircar
      Pages 265-274
    4. Marie-Claire Quenez
      Pages 291-321
    5. Christophe Stricker
      Pages 323-328

About these proceedings

Introduction

This volume contains the Proceedings of the Fourth Seminar on Stochastic Analy­ sis, Random Fields and Applications, which took place at the Centro Stefano Fran­ scini (Monte Verita) in Ascona (Ticino), Switzerland, from May 20 to 24, 2002. The first three editions of this conference occured in 1993, 1996 and 1999. The Seminar covered several topics: fundamental aspects of stochastic analysis, such as stochastic partial differential equations and random fields, and applications to current active fields such as probabilistic methods in fluid dynamics, biomathe­ matics, and financial modeling. As in the previous editions, this last topic was the subject of the Fourth Minisymposium on Stochastic Methods in Financial Models. These proceedings aim to present key aspects of these topics to a larger audience. All papers in this volume have been refereed. A major topic within Stochastic Analysis is the area of random fields which includes as particular cases, Gaussian random fields, stochastic partial differential equations (s. p. d. e. 's) and stochastic differential equations with values in Banach spaces. In this framework, interesting new developments were presented in the theory of Gaussian random fields on manifolds with applications to astrophysics and neurosciences. Moreover, with the aim of modeling certain very irregular phe­ nomena, a theory of s. p. d. e. 's driven by noises concentrated on hyperplanes was presented.

Keywords

Fractals Gaussian distribution Normal distribution Random fields Stochastic Analysis Stochastic processes calculus path space stochastic process

Editors and affiliations

  • Robert C. Dalang
    • 1
  • Marco Dozzi
    • 2
  • Francesco Russo
    • 3
  1. 1.Institut de MathématiquesEcole Polytechnique FédéraleLausanneSwitzerland
  2. 2.Institut Elie CartanUniversité Henri PoincaréVandoeuvre-lès-Nancy CedexFrance
  3. 3.Département de MathématiquesInstitut GaliléeVilletaneuseFrance

Bibliographic information