Seminar on Stochastic Analysis, Random Fields and Applications

by Dalang, Robert C.; Dozzi, Marco; Russo, Francesco

• ISBN13: 9783764361068
• ISBN10: 3764361069
• eBook ISBN(s): 9783034886819
• Format: Hardcover
• Copyright: 1999-04-01
• Publisher: Birkhauser
• More Book Details

Summary

This volume contains 20 refereed research or review papers presented at the six-day Second Seminar on Stochastic Analysis, Random Fields and Applications which took place at the Centro Stefano Franscini (Monte VeritA) in Ascona, Switzerland, from September 16 to 21, 1996. The seminar focused on three topics: stochastic analysis, with an emphasis on stochastic partial differential equations and measure-valued diffusions; applications of stochastic analysis to the engineering sciences; and financial modelling. The third topic was the subject of a minisymposium on stochastic methods in financial models.

Table of Contents

Preface
List of Participants
On a semigroup approach to no-arbitrage pricing theory	p. 1
Generalized random vector fields and Euclidean quantum vector fields	p. 15
Central limit theorem for the local time of a Gaussian process	p. 25
Explicit solutions of some fourth order partial differential equations via iterated Brownian motion	p. 39
A microscopic model of phase field type	p. 63
Ergodic backward SDE and associated PDE	p. 73
Statistical manifolds, self-parallel curves and learning processes	p. 87
Law of iterated logarithm for parabolic SPDEs	p. 101
Random production flows. An exactly solvable fluid model	p. 125
A compactness principle for bounded sequences of martingales with applications	p. 137
Risk minimizing hedging strategies under partial observation	p. 175
Multiparameter Markov processes and capacity	p. 189
Iterated Brownian motion and its intrinsic skeletal strucure	p. 201
Heavy traffic and optimal control methods for a communications system	p. 211
Stochastic Wess-Zumino-Witten model for the measure of Kontsevitch	p. 231
Independence of a class of multiple stochastic integrals	p. 249
Existence of invariant measures for diffusion processes on Banach spaces	p. 261
On some new type of infinite dimensional Laplacians	p. 267
Stochastic PDE's of Schrodinger type and stochastic Mehler kernels - a path integral approach	p. 275
Probability and quantum symmetries in a Riemannian manifold	p. 283
Table of Contents provided by Blackwell. All Rights Reserved.