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Author:   Robert C. Dalang ,  Marco Dozzi ,  Francesco Russo
Publisher:   Birkhauser Verlag AG
Imprint:   Birkhauser Verlag AG
Edition:   2002 ed.
Volume:   52
Dimensions:   Width: 15.50cm , Height: 1.90cm , Length: 23.50cm
Weight:   1.390kg
ISBN:  

9783764367213

ISBN 10:   3764367210
Pages:   302
Publication Date:   01 April 2002
Audience:   College/higher education ,  Professional and scholarly ,  Postgraduate, Research & Scholarly ,  Professional & Vocational
Format:   Hardback
Publisher's Status:   Active
Availability:   In Print  
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Table of Contents

Light, atoms, and singularities.- How random are random walks ?.- Classical solutions for SPDEs with Dirichlet boundary conditions.- Credit Risk: The structural approach revisited.- Classical solutions for Kolmogorov equations in Hilbert spaces.- Monotone gradient systems in L2spaces.- Catalytic and mutually catalytic super-brownian motions.- Sticky particles, scalar conservation law and pressureless gas equations.- Affine short rate models.- A filtered EM algorithm for parameter estimation in linear filtering.- Instability of a quantum particle induced by a randomly varying spring coefficient.- On the superreplication approach for European interest rates derivatives.- A complete market model with Poisson and Brownian components.- Stochastic calculus and processes in non-commutative space-time.- A measure-valued process related to the parabolic Anderson model.- Homogenization of PDEs with non linear boundary condition.- A Bayesian adaptative control approach to risk management in a binomial model.- Hölder continuity for the stochastic heat equation with spatially correlated noise.- Regularity conditions for parabolic SPDEs on Lie groups.- Forward integrals and stochastic differential equations.

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