Overview
- Editors:
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Robert C. Dalang
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Institut de Mathématiques, Ecole Polytechnique Fédérale, Lausanne, Switzerland
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Marco Dozzi
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Institut Elie Cartan, Université Henri Poincaré, Vandoeuvre-lès-Nancy Cedex, France
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Francesco Russo
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Département de Mathématiques, Institut Galilée, Villetaneuse, France
- Wide range of topics in stochastic analysis and financial engineering
- Particular emphasis on applications to fluid dynamics, statistical physics, biology, and mathematical finance
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Table of contents (19 papers)
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Stochastic Analysis and Random Fields
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- Xavier Bardina, David Márquez-Carreras, Carles Rovira, Samy Tindel
Pages 21-43
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- Jean Bertoin, Philippe Biane, Marc Yor
Pages 45-56
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- Ana Bela Cruzeiro, Xicheng Zhang
Pages 57-67
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- J. A. Cuesta-Albertos, Mario Wschebor
Pages 69-82
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- Robert C. Dalang, Olivier Lévêque
Pages 83-93
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- Ian M. Davies, Aubrey Truman, Huaizhong Zhao
Pages 95-110
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- Mamadou Abdoul Diop, Etienne Pardoux
Pages 111-128
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- Franco Flandoli, Massimiliano Gubinelli
Pages 129-139
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- Peter Imkeller, Ilya Pavlyukevich
Pages 141-154
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- Stanisław Kwapień, Jan Rosiński
Pages 155-163
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- Paul Lescot, Jean-Claude Zambrini
Pages 187-202
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Stochastic Methods in Financial Models
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Front Matter
Pages 203-203
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- Simone Deparis, Claude Martini
Pages 205-219
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- Ernst Eberlein, Ernst August v. Hammerstein
Pages 221-264
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- Jean-Pierre Fouque, George Papanicolaou, Ronnie Sircar
Pages 265-274
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- Antonietta Mira, Paolo Tenconi
Pages 275-289
About this book
This volume contains the Proceedings of the Fourth Seminar on Stochastic Analy sis, Random Fields and Applications, which took place at the Centro Stefano Fran scini (Monte Verita) in Ascona (Ticino), Switzerland, from May 20 to 24, 2002. The first three editions of this conference occured in 1993, 1996 and 1999. The Seminar covered several topics: fundamental aspects of stochastic analysis, such as stochastic partial differential equations and random fields, and applications to current active fields such as probabilistic methods in fluid dynamics, biomathe matics, and financial modeling. As in the previous editions, this last topic was the subject of the Fourth Minisymposium on Stochastic Methods in Financial Models. These proceedings aim to present key aspects of these topics to a larger audience. All papers in this volume have been refereed. A major topic within Stochastic Analysis is the area of random fields which includes as particular cases, Gaussian random fields, stochastic partial differential equations (s. p. d. e. 's) and stochastic differential equations with values in Banach spaces. In this framework, interesting new developments were presented in the theory of Gaussian random fields on manifolds with applications to astrophysics and neurosciences. Moreover, with the aim of modeling certain very irregular phe nomena, a theory of s. p. d. e. 's driven by noises concentrated on hyperplanes was presented.
Editors and Affiliations
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Institut de Mathématiques, Ecole Polytechnique Fédérale, Lausanne, Switzerland
Robert C. Dalang
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Institut Elie Cartan, Université Henri Poincaré, Vandoeuvre-lès-Nancy Cedex, France
Marco Dozzi
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Département de Mathématiques, Institut Galilée, Villetaneuse, France
Francesco Russo