Stochastic Analysis and Applications The Abel Symposium 2005 /

• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Άλλοι συγγραφείς: Benth, Fred Espen (Επιμελητής έκδοσης), Nunno, Giulia Di (Επιμελητής έκδοσης), Lindstrøm, Tom (Επιμελητής έκδοσης), Øksendal, Bernt (Επιμελητής έκδοσης), Zhang, Tusheng (Επιμελητής έκδοσης)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Berlin, Heidelberg : Springer Berlin Heidelberg, 2007.
• Σειρά: Abel Symposia ; 2
• Θέματα: Mathematics.; Mathematical analysis.; Analysis (Mathematics).; Functions of real variables.; Applied mathematics.; Engineering mathematics.; Economics, Mathematical.; Probabilities.; Statistics.; Probability Theory and Stochastic Processes.; Applications of Mathematics.; Real Functions.; Analysis.; Statistical Theory and Methods.; Quantitative Finance.

Kiyosi Ito, the founder of stochastic calculus, is one of the few central figures of the twentieth century mathematics who reshaped the mathematical world. Today stochastic calculus is a central research field with applications in several other mathematical disciplines, for example physics, engineer...

Πίνακας περιεχομένων:

• Memoirs of My Research on Stochastic Analysis
• Itô Calculus and Quantum White Noise Calculus
• Homogenization of Diffusions on the Lattice Zd with Periodic Drift Coefficients, Applying a Logarithmic Sobolev Inequality or a Weak Poincaré Inequality
• Theory and Applications of Infinite Dimensional Oscillatory Integrals
• Ambit Processes; with Applications to Turbulence and Tumour Growth
• A Stochastic Control Approach to a Robust Utility Maximization Problem
• Extending Markov Processes in Weak Duality by Poisson Point Processes of Excursions
• Hedging with Options in Models with Jumps
• Power Variation Analysis of Some Integral Long-Memory Processes
• Kolmogorov Equations for Stochastic PDE's with Multiplicative Noise
• Stochastic Integrals and Adjoint Derivatives
• An Application of Probability to Nonlinear Analysis
• The Space of Stochastic Differential Equations
• Extremes of supOU Processes
• Gaussian Bridges
• Some of the Recent Topics on Stochastic Analysis
• Differential Equations Driven by Hölder Continuous Functions of Order Greater than 1/2
• On Asymptotics of Banach Space-valued Itô Functionals of Brownian Rough Paths
• Continuous-Time Markowitz's Problems in an Incomplete Market, with No-Shorting Portfolios
• Quantum and Classical Conserved Quantities: Martingales, Conservation Laws and Constants of Motion
• Different Lattice Approximations for Hôegh-Krohn's Quantum Field Model
• Itô Atlas, its Application to Mathematical Finance and to Exponentiation of Infinite Dimensional Lie Algebras
• The Invariant Distribution of a Diffusion: Some New Aspects
• Formation of Singularities in Madelung Fluid: A Nonconventional Application of Itô Calculus to Foundations of Quantum Mechanics
• G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type
• Perpetual Integral Functionals of Diffusions and their Numerical Computations
• Chaos Expansions and Malliavin Calculus for Lévy Processes
• Study of Simple but Challenging Diffusion Equation
• Itô Calculus and Malliavin Calculus
• The Malliavin Calculus for Processes with Conditionally Independent Increments.