Stochastic Processes and Related Topics

Proceedings of the 12th Winter School, Siegmundsburg (Germany), February 27-March 4, 2000

Rainer Buckdahn, Hans J. Engelbert, Marc Yor (Herausgeber)

Buch | Softcover

296 Seiten

2019
CRC Press (Verlag)
978-0-367-39614-5 (ISBN)

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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.

Rainer Buckdahn, Hans J. Engelbert, Marc Yor

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.

Erscheinungsdatum	30.09.2019
Verlagsort	London
Sprache	englisch
Maße	152 x 229 mm
Gewicht	540 g
Themenwelt	Mathematik / Informatik ► Mathematik ► Angewandte Mathematik
	Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik
	Wirtschaft ► Betriebswirtschaft / Management
	Wirtschaft ► Volkswirtschaftslehre ► Ökonometrie
ISBN-10	0-367-39614-9 / 0367396149
ISBN-13	978-0-367-39614-5 / 9780367396145
Zustand	Neuware