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Seminar on Stochastic Analysis, Random Fields and Applications V

Centro Stefano Franscini, Ascona, May 2005

  • Robert C. Dalang
  • Francesco Russo
  • Marco Dozzi

Part of the Progress in Probability book series (PRPR, volume 59)

Table of contents

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

    1. Front Matter
      Pages 1-1
    2. Yoshiyuki Asai, Alessandro E. P. Villa
      Pages 3-17
    3. Michel Benaïm, Olivier Raimond
      Pages 19-22
    4. Stefano Bonaccorsi
      Pages 37-55
    5. Nicolas Champagnat, Régis Ferrière, Sylvie Méléard
      Pages 75-113
    6. Franco Flandoli
      Pages 123-134
    7. José Alfredo López-Mimbela, Nicolas Privault
      Pages 243-259
    8. Annie Millet, Marta Sanz-Solé
      Pages 275-303
    9. Wilhelm Stannat
      Pages 345-362
    10. Bogusław Zegarliński
      Pages 397-408
  3. Stochastic Methods in Financial Models

About these proceedings

Introduction

This volume contains twenty-eight refereed research or review papers presented at the 5th Seminar on Stochastic Processes, Random Fields and Applications, which took place at the Centro Stefano Franscini (Monte Verità) in Ascona, Switzerland, from May 30 to June 3, 2005. The seminar focused mainly on stochastic partial differential equations, random dynamical systems, infinite-dimensional analysis, approximation problems, and financial engineering.

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

Contributors:

Y. Asai, J.-P. Aubin, C. Becker, M. Benaïm, H. Bessaih, S. Biagini, S. Bonaccorsi, N. Bouleau, N. Champagnat, G. Da Prato, R. Ferrière, F. Flandoli, P. Guasoni, V.B. Hallulli, D. Khoshnevisan, T. Komorowski, R. Léandre, P. Lescot, H. Lisei, J.A. López-Mimbela, V. Mandrekar, S. Méléard, A. Millet, H. Nagai, A.D. Neate, V. Orlovius, M. Pratelli, N. Privault, O. Raimond, M. Röckner, B. Rüdiger, W.J. Runggaldier, P. Saint-Pierre, M. Sanz-Solé, M. Scheutzow, A. Soós, W. Stannat, A. Truman, T. Vargiolu, A.E.P. Villa, A.B. Vizcarra, F.G. Viens, J.-C. Zambrini, B. Zegarlinski

Keywords

Brownian motion Dirichlet form Gaussian noise Ornstein-Uhlenbeck process Stochastic processes Time series diffusion process financial mathematics fractional Brownian motion random dynamical system random field rough path stochastic analysis stochastic process

Editors and affiliations

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

Bibliographic information

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