Seminar on Stochastic Analysis, Random Fields and Applications V - Centro Stefano Franscini, Ascona, May 2005

Table of Contents

Preface

List of Participants

Stochastic Analysis and Random Fields

Detection of Dynamical Systems from Noisy Multivariate Time Series

A Bakry-Emery Criterion for Self-Interacting Diffusions

Stationary Solutions for the 2D Stochastic Dissipative Euler Equation

Volterra Equations Perturbed by a Gaussian Noise

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

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

Remarks on 3D Stochastic Navier-Stokes Equations

Slices of a Brownian Sheet: New Results and Open Problems

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

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

Probabilistic Deformation of Contact Geometry, Diffusion Processes and Their Quadratures

Approximation of Stochastic Di.erential Equations Driven by Fractional Brownian Motion

Critical Exponents for Semilinear PDEs with Bounded Potentials

Generalized Ornstein–Uhlenbeck Processes on Separable Banach Spaces

Approximation of Rough Paths of Fractional Brownian Motion

A One-Dimensional Analysis of Singularities and Turbulence for the Stochastic Burgers

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

Attractors for Ergodic and Monotone Random Dynamical Systems

On the Stability of Feynman-Kac Propagators

Some Applications of the Malliavin Calculus to Sub- Gaussian and Non-Sub-Gaussian Random Fields

Nonlinear Markovian Problems in Large Dimensions

Stochastic Methods in Financial Models

A Tychastic Approach to Guaranteed Pricing and Management of Portfolios under Transaction Constraints

Numerical Aspects of Loan Portfolio Optimization

An Orlicz Spaces Duality for Utility Maximization in Incomplete Markets

No Free Lunch under Transaction Costs for Continuous Processes

Robustness of the Hobson–Rogers Model with Respect to the Offset Function

PDE Approach to Utility Maximization for Market Models with Hidden Markov Factors

Generalizations of Merton’s Mutual Fund Theorem in Infinite- Dimensional Financial Models