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dalang robert c. (curatore); dozzi marco (curatore); russo francesco (curatore) - seminar on stochastic analysis, random fields and applications iii

Seminar on Stochastic Analysis, Random Fields and Applications III Centro Stefano Franscini, Ascona, September 1999

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Spese Gratis

Dettagli

Genere:Libro
Lingua: Inglese
Edizione: 2002





Sommario

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.










Altre Informazioni

ISBN:

9783764367213

Condizione: Nuovo
Collana: Progress in Probability
Dimensioni: 235 x 155 mm
Formato: Copertina rigida
Illustration Notes:XVII, 302 p.
Pagine Arabe: 302
Pagine Romane: xvii


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