Stochastic Processes and Related Topics

Jeff Englebert (Siecor Corporation, Hickory, North Carolina, USA), Hans Follmer, Jerzy Zabczyk , Jerzy Zabczyk (Polish Academy of Sciences, Warsaw, Poland)

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English

Taylor & Francis Ltd
09 February 1996

Probability & statistics; Stochastics

Series: Stochastics Monographs

The aim of this volume is to make accessible to a greater audience papers given at the 10th Winterschool on Stochastic Processes in Siegmundsburg, Germany, March 1994. The papers include developments in stochastic analysis, applications to finance mathematics, Markov processes and diffusion processes, stochastic differential equations and stochastic partial differential equations.

By: Jeff Englebert (Siecor Corporation Hickory North Carolina USA)
Edited by: Hans Follmer, Jerzy Zabczyk, Jerzy Zabczyk (Polish Academy of Sciences, Warsaw, Poland)
Imprint: Taylor & Francis Ltd
Country of Publication: United Kingdom
Volume: v. 10.
Dimensions: Height: 229mm, Width: 152mm, Spine: 21mm
Weight: 485g
ISBN: 9782884490696
ISBN 10: 2884490698
Series: Stochastics Monographs
Pages: 182
Publication Date: 09 February 1996
Audience: College/higher education , Professional and scholarly , Further / Higher Education , Undergraduate
Format: Hardback
Publisher's Status: Active

Generalized Ito formula and derivation of Bellman's equation; robustness of hedging strategies for European options; on the laws of orthogonal projectors on eigenspaces of Lyapunov exponents of linear stochastic differential equations; generalized second order partial differential operators in analysis and probability; on the limit of stochastic integrals of differential forms; asymptotic properties of stochastic equations with boundary and pointwise noise; the Follmer-Schweizer decomposition; the stochastic maximum principle; a brief survey and an application; Sobolov spaces of functions on an infinite-dimensional domain; diffusion in a medium with semi-transparent diaphragms; anticipative Stratonovich equation via Zvonkin method; on continuous-time models of term structure of interest rates; pricing options by dynamic programming; list of participants; list of talks.

Jeff Englebert (Author)