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. A unique opportunity to read ideas from all the top experts on the subject, Stochastic Processes and Related Topics is intended for postgraduates and researchers working in this area of mathematics and provides a
useful source of reference.
Edited by:
Rainer Buckdahn,
Hans J. Engelbert,
Marc Yor
Imprint: CRC Press
Country of Publication: United Kingdom
Dimensions:
Height: 234mm,
Width: 156mm,
Spine: 22mm
Weight: 562g
ISBN: 9780415298834
ISBN 10: 0415298830
Pages: 290
Publication Date: 16 May 2002
Audience:
Professional and scholarly
,
Professional and scholarly
,
Professional and scholarly
,
Undergraduate
,
Further / Higher Education
Format: Hardback
Publisher's Status: Active
Backward Stochastic Differential Equations and Viscosity Solutions of Semi-Linear Parabolic Deterministic and Stochastic PDE of Second Order. Isolated Singular Points of Stochastic Differential Equations. On One-Dimensional Stochastic Equations Driven by Symmetric Stable Processes. Integral Functionals of Strong Markov Continuous Local Martingales. Approximation of Stochastic Integrals. Minimal Distance Martingale Measures and Optimal Portfolios Consistent with Observed Market Prices. On Generalized x-Diffusions. Portfolio Optimizations with Transaction Costs and Exponential Utility. A Semi-martingale Backward Equation Related to the p-Optimal Martingale Measure and the Lower Price of a Contingent Claim. Subordinators Related to the Exponential Functionals of Brownian Bridges and Explicit Formulae for the Semigroups of Hyperbolic Brownian Motions. First Passage Time Structural Models with Interest Rate Risk. Pricing Options for Markovian Models. Three Intertwined Brownian Topics: Exponential Functionals, Winding Numbers, and Ray-Knight Theorems on Local Times.
Rainer Buckdahn, Hans J. Engelbert, Marc Yor
