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Author:   Erwin Bolthausen ,  Marco Dozzi ,  Francesco Russo ,  Erwin Bolthausen (University of Zurich, Switzerland)
Publisher:   Birkhauser Verlag AG
Imprint:   Birkhauser Verlag AG
Edition:   1995 ed.
Volume:   36
Dimensions:   Width: 15.50cm , Height: 2.40cm , Length: 23.50cm
Weight:   0.814kg
ISBN:  

9783764352417

ISBN 10:   3764352418
Pages:   394
Publication Date:   27 July 1995
Audience:   College/higher education ,  Professional and scholarly ,  Postgraduate, Research & Scholarly ,  Professional & Vocational
Format:   Hardback
Publisher's Status:   Active
Availability:   Out of stock  
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Table of Contents

Propagation of chaos — the inverse problem.- A remark on stachastic dynamics on the infinite-dimensional torus.- Diffusion-approximation for the advection-diffusion of a passive scalar by a space-time Gaussian velocity field.- A new space of white noise distributions and applications to SPDE’s.- Dissipativity of three-dimensional stochastic Navier-Stokes equation.- Bernstein diffusions and Euclidean quantum field theory.- A Fubini theorem for generalized Stratonovich integrals.- Large deviations via parameter dependent change of measure, and an application to the lower tail of Gaussian processes.- An equation modelling transport of a substance in a stochastic medium.- Stochastic representation of unitary quantum evolution.- Critical dimensions for the existence of self-intersection local times of the Brownian sheet in ?d.- Density estimates for stochastic partial differential equations.- Almost sure convergence of stochastic differential equations of jump-diffusion type.- Applications and foundations of quasi sure analysis.- A duality formula on the Poisson space and some applications.- Generalized functions and stochastic processes.- On the geometry defined by Dirichlet forms.- Random Brownian scaling and some absolute continuity relationships.- Recent progress in the hypercontractive semigroups.- Financial models.- Alternative estimators of a diffusion model of the term structure of interest rates. A Monte Carlo comparison.- Backward stochastic differential equations. Option hedging under additional cost.- Componentwise and vector stochastic integration with respect to certain multi-dimensional continuous local martingales.- Stock price returns and the Joseph effect: A fractional version of the Black-Scholes model.- Critical price for an American option nearmaturity.- Hedging of options under discrete observation on assets with stochastic volatility.- Convergence of option values under incompleteness.- Portfolio selection with transaction costs.

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