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Seminar on Stochastic Analysis, Random Fields and Applications VII

Centro Stefano Franscini, Ascona, May 2011

  • Robert C. Dalang
  • Marco Dozzi
  • Francesco Russo

Part of the Progress in Probability book series (PRPR, volume 67)

Table of contents

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

    1. Front Matter
      Pages 1-1
    2. Arturo Kohatsu-Higa, Hoang-Long Ngo
      Pages 131-169
    3. Vidyadhar Mandrekar, Barbara Rüdiger, Stefan Tappe
      Pages 171-186
    4. Ivan Nourdin, Giovanni Peccati, Roland Speicher
      Pages 211-221
    5. Sivaguru S. Sritharan, Meng Xu
      Pages 223-233
    6. Wilhelm Stannat
      Pages 235-255
    7. Arturo Kohatsu-Higa, José Manuel Corcuera
      Pages 257-257
  3. Stochastic Methods in Financial Models

    1. Front Matter
      Pages 259-259
    2. Fred Espen Benth, Heidar Eyjolfsson
      Pages 261-284
    3. R. Cogo, A. Gombani, W. J. Runggaldier
      Pages 363-379
    4. Damir Filipović
      Pages 381-393
    5. Benjamin Jourdain, Mohamed Sbai
      Pages 395-410
    6. Thomas Lim, Vathana Ly Vath, Jean-Michel Sahut, Simone Scotti
      Pages 411-434
    7. Adrian Roy L. Valdez, Tiziano Vargiolu
      Pages 435-449
  4. Public Lecture

    1. Front Matter
      Pages 451-451

About these proceedings

Introduction

This book presents refereed research or review articles presented at the 7th Seminar on Stochastic Analysis, Random Fields and Applications, which was held at the Centro Stefano Franscini (Monte Verità) in Ascona, Switzerland, in May 2011. The seminar mainly focused on:

• stochastic (partial) differential equations, especially with regard to jump processes, construction of solutions and approximations

• Malliavin calculus and Stein methods, and other techniques in stochastic analysis, especially chaos representations and convergence, and applications to models of interacting particle systems

• stochastic methods in financial models, especially models for power markets or for risk analysis, empirical estimation and approximation, stochastic control and optimal pricing.

The notes of the public lecture held by Nicolas Bouleau on the fundamental question of whether there can be an excessive mathematization of the world in an economic context are also included.

The book will be a valuable resource for researchers working in stochastic analysis and for professionals interested in stochastic methods in finance.

Contributors:

R. Balan

F.E. Benth

F. Biagini

N. Bouleau

S. Cawston

C. Ceci

R. Cogo

G. Di Nunno

R. Eden

H. Eyjolfsson

B. Ferrario

D. Filipovic

A. Gombani

I. Gyöngy

B. Jourdain

A. Kohatsu-Higa

T. Lim

V. Ly Vath

V. Mandrekar

C. Marinelli

L.M. Morato

H.-L. Ngo

I. Nourdin

G. Peccati

B. Rüdiger

W.J. Runggaldier

J.-M. Sahut

M. Sbai

S. Scotti

S. Sjursen

R. Speicher

S.S. Sritharan

W. Stannat

P.R. Stinga

S. Tappe

S. Ugolini

A.R.L. Valdez

T. Vargiolu

F. Viens

L. Vostrikova

M. Xu

Keywords

Malliavin calculus stochastic analysis stochastic differential equations

Editors and affiliations

  • Robert C. Dalang
    • 1
  • Marco Dozzi
    • 2
  • Francesco Russo
    • 3
  1. 1.Institut de Mathématiques (IMA) Chaire de Statistiques Appliquées (STAP)Ecole Polytechnique Fédérale de Lausanne Fac. Sciences de Base (FSB)LausanneSwitzerland
  2. 2.Institut Elie CartanUniversité de LorraineVandoeuvre-les-Nancy CXFrance
  3. 3.Unité de Mathématiques appliquéesENSTA ParisTechPalaiseauFrance

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