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Seminar on Stochastic Analysis, Random Fields and Applications V - Centro Stefano Franscini, Ascona, May 2005
Table of Contents
5
Preface
8
List of Participants
10
Stochastic Analysis and Random Fields
13
Detection of Dynamical Systems from Noisy Multivariate Time Series
14
A Bakry-Emery Criterion for Self-Interacting Diffusions
29
Stationary Solutions for the 2D Stochastic Dissipative Euler Equation
33
Volterra Equations Perturbed by a Gaussian Noise
47
Dirichlet Forms Methods: An Application to the Propagation of the Error Due to the Euler Scheme
66
A Note on Evolution Systems of Measures for Time-Dependent Stochastic Differential Equations
123
Remarks on 3D Stochastic Navier-Stokes Equations
131
Slices of a Brownian Sheet: New Results and Open Problems
143
An Estimate of the Convergence Rate in Diffusion Approximation of a Particle Motion under Random Forcing
183
Long-Time Behaviour for the Brownian Heat Kernel on a Compact Riemannian Manifold and Bismut’s Integration-by-Parts Formula
205
Probabilistic Deformation of Contact Geometry, Diffusion Processes and Their Quadratures
210
Approximation of Stochastic Di.erential Equations Driven by Fractional Brownian Motion
234
Critical Exponents for Semilinear PDEs with Bounded Potentials
249
Generalized Ornstein–Uhlenbeck Processes on Separable Banach Spaces
266
Approximation of Rough Paths of Fractional Brownian Motion
280
A One-Dimensional Analysis of Singularities and Turbulence for the Stochastic Burgers
309
A One-Dimensional Analysis of Singularities and Turbulence for the Stochastic Burgers Equation in d Dimensions
309
Attractors for Ergodic and Monotone Random Dynamical Systems
335
On the Stability of Feynman-Kac Propagators
349
Some Applications of the Malliavin Calculus to Sub- Gaussian and Non-Sub-Gaussian Random Fields
367
Nonlinear Markovian Problems in Large Dimensions
400
Stochastic Methods in Financial Models
412
A Tychastic Approach to Guaranteed Pricing and Management of Portfolios under Transaction Constraints
413
Numerical Aspects of Loan Portfolio Optimization
436
An Orlicz Spaces Duality for Utility Maximization in Incomplete Markets
446
No Free Lunch under Transaction Costs for Continuous Processes
457
Robustness of the Hobson–Rogers Model with Respect to the Offset Function
468
PDE Approach to Utility Maximization for Market Models with Hidden Markov Factors
492
Generalizations of Merton’s Mutual Fund Theorem in Infinite- Dimensional Financial Models
506
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