Stochastic Processes and Related Topics: Proceedings of the 12th Winter School, Siegmundsburg (Germany), February 27-March 4, 2000

Author:   Rainer Buckdahn ,  Hans J. Engelbert ,  Marc Yor
Publisher:   Taylor & Francis Ltd
ISBN:  

9780415298834


Pages:   296
Publication Date:   16 May 2002
Format:   Hardback
Availability:   In Print   Availability explained
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Stochastic Processes and Related Topics: Proceedings of the 12th Winter School, Siegmundsburg (Germany), February 27-March 4, 2000


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Overview

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.

Full Product Details

Author:   Rainer Buckdahn ,  Hans J. Engelbert ,  Marc Yor
Publisher:   Taylor & Francis Ltd
Imprint:   CRC Press
Dimensions:   Width: 15.20cm , Height: 2.20cm , Length: 22.90cm
Weight:   0.562kg
ISBN:  

9780415298834


ISBN 10:   0415298830
Pages:   296
Publication Date:   16 May 2002
Audience:   College/higher education ,  Professional and scholarly ,  Professional and scholarly ,  Tertiary & Higher Education ,  Postgraduate, Research & Scholarly
Format:   Hardback
Publisher's Status:   Active
Availability:   In Print   Availability explained
This item will be ordered in for you from one of our suppliers. Upon receipt, we will promptly dispatch it out to you. For in store availability, please contact us.

Table of Contents

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.

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Rainer Buckdahn, Hans-Jurgen Engelbert, Marc Yor

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