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Birkhäuser

Seminar on Stochastic Analysis, Random Fields and Applications V

Centro Stefano Franscini, Ascona, May 2005

  • Conference proceedings
  • © 2008

Overview

Editors:
  1. Robert C. Dalang

    1. Institut de Mathématiques, Ecole Polytechnique Fédérale, Lausanne, Switzerland

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    You can also search for this editor in PubMed   Google Scholar

  2. Francesco Russo

    1. Département de Mathématiques, Institut Galilée, Villetaneuse, France

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    You can also search for this editor in PubMed   Google Scholar

  3. Marco Dozzi

    1. Institut Elie Cartan, Université Henri Poincaré, Vandoeuvre-lès-Nancy Cedex, France

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  • Wide range of topics in stochastic analysis and financial engineering
  • Particular emphasis on applications to fluid dynamics, statistical physics, biology, and mathematical finance
  • Includes supplementary material: sn.pub/extras

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

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Table of contents (28 papers)

  1. Front Matter

    Pages i-xiii
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  2. Stochastic Analysis and Random Fields

    1. Front Matter

      Pages 1-1
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    2. Detection of Dynamical Systems from Noisy Multivariate Time Series

      • Yoshiyuki Asai, Alessandro E. P. Villa
      Pages 3-17

    3. A Bakry-Emery Criterion for Self-Interacting Diffusions

      • Michel Benaïm, Olivier Raimond
      Pages 19-22

    4. Stationary Solutions for the 2D Stochastic Dissipative Euler Equation

      • Hakima Bessaih
      Pages 23-36

    5. Volterra Equations Perturbed by a Gaussian Noise

      • Stefano Bonaccorsi
      Pages 37-55

    6. Dirichlet Forms Methods: An Application to the Propagation of the Error Due to the Euler Scheme

      • Nicolas Bouleau
      Pages 57-74

    7. Individual-Based Probabilistic Models of Adaptive Evolution and Various Scaling Approximations

      • Nicolas Champagnat, Régis Ferrière, Sylvie Méléard
      Pages 75-113

    8. A Note on Evolution Systems of Measures for Time-Dependent Stochastic Differential Equations

      • Giuseppe Da Prato, Michael Röckner
      Pages 115-122

    9. Remarks on 3D Stochastic Navier-Stokes Equations

      • Franco Flandoli
      Pages 123-134

    10. Slices of a Brownian Sheet: New Results and Open Problems

      • Davar Khoshnevisan
      Pages 135-174

    11. An Estimate of the Convergence Rate in Diffusion Approximation of a Particle Motion under Random Forcing

      • Tomasz Komorowski
      Pages 175-196

    12. Long-Time Behaviour for the Brownian Heat Kernel on a Compact Riemannian Manifold and Bismut’s Integration-by-Parts Formula

      • Rémi Léandre
      Pages 197-201

    13. Probabilistic Deformation of Contact Geometry, Diffusion Processes and Their Quadratures

      • Paul Lescot, Jean-Claude Zambrini
      Pages 203-226

    14. Approximation of Stochastic Differential Equations Driven by Fractional Brownian Motion

      • Hannelore Lisei, Anna Soós
      Pages 227-241

    15. Critical Exponents for Semilinear PDEs with Bounded Potentials

      • José Alfredo López-Mimbela, Nicolas Privault
      Pages 243-259

    16. Generalized Ornstein-Uhlenbeck Processes on Separable Banach Spaces

      • V. Mandrekar, B. Rüdiger
      Pages 261-274

    17. Approximation of Rough Paths of Fractional Brownian Motion

      • Annie Millet, Marta Sanz-Solé
      Pages 275-303

    18. A One-Dimensional Analysis of Singularities and Turbulence for the Stochastic Burgers Equation in d Dimensions

      • Andrew D. Neate, Aubrey Truman
      Pages 305-330

    19. Attractors for Ergodic and Monotone Random Dynamical Systems

      • Michael Scheutzow
      Pages 331-344
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Keywords

About this book

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

Editors and Affiliations

  • Institut de Mathématiques, Ecole Polytechnique Fédérale, Lausanne, Switzerland

    Robert C. Dalang

  • Département de Mathématiques, Institut Galilée, Villetaneuse, France

    Francesco Russo

  • Institut Elie Cartan, Université Henri Poincaré, Vandoeuvre-lès-Nancy Cedex, France

    Marco Dozzi

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