Seminar on Stochastic Analysis, Random Fields and Applications : Centro Stefano Franscini, Ascona, September 1996

書誌事項

Seminar on Stochastic Analysis, Random Fields and Applications : Centro Stefano Franscini, Ascona, September 1996

Robert C. Dalang, Marco Dozzi, Francesco Russo, editors

(Progress in probability / series editors, Thomas Liggett, Charles Newman, Loren Pitt, 45)

Birkhäuser, c1999

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注記

Includes bibliographical references

"This volume contains the proceedings of the six-day Second Seminar on Stochastic Analysis, Random Fields and Applications" -- Pref

内容説明・目次

内容説明

A collection of 20 refereed research or review papers presented at a six-day seminar in Switzerland. The contributions focus on stochastic analysis, its applications to the engineering sciences, and stochastic methods in financial models, which was the subject of a minisymposium.

目次

On a semigroup approach to no-arbitrage pricing theory.- Generalized random vector fields and Euclidean quantum vector fields.- Central limit theorem for the local time of a Gaussian process.- Explicit solutions of some fourth order partial differential equations via iterated Brownian motion.- A microscopic model of phase field type.- Ergodic backward SDE and associated PDE.- Statistical manifolds, self-parallel curves and learning processes.- Law of iterated logarithm for parabolic SPDEs.- Random production flows. An exactly solvable fluid model.- A compactness principle for bounded sequences of martingales with applications.- Risk minimizing hedging strategies under partial observation.- Multiparameter Markov processes and capacity.- Iterated Brownian motion and its intrinsic skeletal structure.- Heavy traffic and optimal control methods for a communications system.- Stochastic Wess-Zumino- Witten model for the measure of Kontsevitch.- Independence of a class of multiple stochastic integrals.- Existence of invariant measures for diffusion processes on Banach spaces.- On some new type of infinite dimensional Laplacians.- Stochastic PDE's of Schroedinger type and stochastic Mehler kernels - a path integral approach.- Probability and quantum symmetries in a Riemannian manifold.

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