Book 2011

Stochastic Analysis 2010

Editors:

ISBN: 978-3-642-15357-0 (Print) 978-3-642-15358-7 (Online)

Table of contents (14 chapters)

  1. Front Matter

    Pages i-viii

  2. No Access

    Chapter

    Pages 1-6

    Introduction

  3. No Access

    Chapter

    Pages 7-29

    Integration by Parts Formula with Respect to Jump Times for StochasticDifferential Equations

  4. No Access

    Chapter

    Pages 31-49

    A Laplace Principle for a Stochastic Wave Equation in Spatial Dimension Three

  5. No Access

    Chapter

    Pages 51-71

    Intertwinned Diffusions by Examples

  6. No Access

    Chapter

    Pages 73-111

    Efficient and Practical Implementations of Cubature on Wiener Space

  7. No Access

    Chapter

    Pages 113-130

    Equivalence of Stochastic Equations and Martingale Problems

  8. No Access

    Chapter

    Pages 131-168

    Accelerated Numerical Schemes for PDEs and SPDEs

  9. No Access

    Chapter

    Pages 169-190

    Coarse-Grained Modeling of Multiscale Diffusions: The p-Variation Estimates

  10. No Access

    Chapter

    Pages 191-212

    Numerical Solution of the Dirichlet Problem for Linear Parabolic SPDEs Based on Averaging over Characteristics

  11. No Access

    Chapter

    Pages 213-225

    Individual Path Uniqueness of Solutions of Stochastic Differential Equations

  12. No Access

    Chapter

    Pages 227-242

    Stochastic Integrals and SDE Driven by Nonlinear Lévy Noise

  13. No Access

    Chapter

    Pages 243-266

    Discrete Algorithms for Multivariate Financial Calculus

  14. No Access

    Chapter

    Pages 267-280

    Credit Risk, Market Sentiment and Randomly-Timed Default

  15. No Access

    Chapter

    Pages 281-299

    Continuity of Mutual Entropy in the Limiting Signal-To-Noise Ratio Regimes