Stochastic Processes and Related Topics

Rainer Buckdahn, Hans-jurgen Engelbert, Marc Yor

282 pages, parution le 14/10/2002

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Résumé

This volume comprises selected papers presented at the 12th Winter School on Stochastic Processes and their Applications which was held in Siegmundsburg, Germany in March 2000. The contents include; Backward Stochastic Differential Equations; Semilinear PDE and SPDE; Arbitrage Theory; Credit Derivatives and Models for Correlated Defaults; Three Intertwined Brownian Topics: Exponential Functionals, Winding Numbers and Local TImes. The volume is intended for postgraduates and researchers working in this area of mathematics and provides a useful source of reference.

Contents

1. Backward Stochastic Differential Equations and Viscosity Solutions of Semi-Linear Parabolic Deterministic and Stochastic PDE of Second Order Rainer Buckdahn
2. Isolated Singular Points of Stochastic Differential Equations Alexander S. Cherny and Hans-Jurgen Engelbert
3. On One-Dimensional Stochastic Equations Driven by Symmetric Stable Processes Hans-Jurgen Engelbert and Vladimir P. Kurenok
4. Integral Functionals of Strong Markov Continous Local Martingales Hans-Jurgen Engelbert and Gunar Tittel
5. Approximation of Stochastic Integrals Stefan Geiss
6. Minimal Distance Martingale Measures and Optimal Portfolios Consistent with Observed Market Prices Thomas Goll and Ludger Ruschendrof
7. On Generalized x-Diffusions Bronius Grigelionis
8. Portfolio Optimizations with Transaction Costs and Exponential Untility Ralf Korn and Silke Laue
9. A Semimartingale Backward Equation Related to the p-Optimal Martingale Measure and the Lower Price of a Contingent Claim Michael Mania, Marina Santacroce and Revaz Tevzadze
10. Subordinators Related to the Exponential Functionals of Brownian Bridges and Explicit Formulae for the Semigroups of Hyperbolic Brownian Motions Hiroyuki Matsumoto, Laurent Nguyen and Marc Yor
11. First Passage Time Structural Models with Interest Rate Risk Marek Rutkowski
12.Pricing Options for Markovian Models Gianmarion Tessitore and Jerzy Zabczyk
13. Three Intertwined Brownian Topics: Exponential Functionals, Winding Numbers, and Ray-Knight Theorems on Local Times Mar Yor

L'auteur - Hans-jurgen Engelbert

Editor; Université de Bretagne Occidentale
Brest, France

L'auteur - Marc Yor

Yor, M., Universite Pierre et Marie Curie, Paris, France

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Taylor and Francis Books
Auteur(s)	Rainer Buckdahn, Hans-jurgen Engelbert, Marc Yor
Parution	14/10/2002
Nb. de pages	282
Format	16 x 24
Couverture	Broché
Poids	560g
Intérieur	Noir et Blanc
EAN13	9780415298834
ISBN13	978-0-415-29883-4