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Author:   Rainer Buckdahn ,  Hans J. Engelbert ,  Marc Yor
Publisher:   Taylor & Francis Ltd
Imprint:   CRC Press
Dimensions:   Width: 15.60cm , Height: 2.20cm , Length: 23.40cm
Weight:   0.562kg
ISBN:  

9780415298834

ISBN 10:   0415298830
Pages:   290
Publication Date:   16 May 2002
Audience:   Professional and scholarly ,  Professional and scholarly ,  Professional and scholarly ,  Professional & Vocational ,  Postgraduate, Research & Scholarly
Format:   Hardback
Publisher's Status:   Active
Availability:   In Print  
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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 J. Engelbert, Marc Yor

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