Stochastic processes and related topics : proceedings of the 12th Winter school, Siegmundsburg, Germany, February 27-March 4, 2000 / edited by Rainer Buckdahn, Hans-Jürgen Engelbert, and Marc Yor.

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Bibliographic Details
Online Access: Full Text (via Taylor & Francis)
Corporate Author: Winter School on Stochastic Processes and their Applications Siegmundsburg, Germany
Other Authors: Buckdahn, Rainer, Engelbert, Hans Jürgen, Yor, Marc
Format: Conference Proceeding eBook
Language:English
Published: London ; New York : Taylor & Francis, 2002.
Series:Stochastics monographs ; v. 12.
Subjects:

MARC

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505 0 |a Backward stochastic differential equations and viscosity solutions of semilinear parabolic deterministic and stochastic PDE of second order / Rainer Buckdahn -- Isolated singular points of stochastic differential equations / Alexander S. Cherny and Hans-Jürgen Engelbert -- On one-dimensional stochastic equations driven by symmetric stable processes / Hans-Jürgen Engelbert and Vladimir P. Kurenok -- Integral functionals of strong Markov continuous local martingales / Hans-Jürgen Engelbert and Gunar Tittel -- On the approximation of stochastic integrals and weighted BMO / Stefan Geiss -- Minimal distance martingale measures and optimal portfolios consistent with observed market prices / Thomas Goll and Ludger Rüschendorf -- On generalized z-diffusions / Bronius Grigelionis -- Portfolio optimisation with transaction costs and exponential utility / Ralf Korn and Silke Laue -- A semimartingale backward equation related to the p-optimal martingale measure and the lower price of a contingent claim / Michael Mania, Marina Santacroce and Revaz Tevzadze -- Subordinators related to the exponential functionals of Brownian bridges and explicit formulae for the semigroups of hyperbolic Brownian motions / Hiroyuki Matsumoto, Laurent Nguyen and Marc Yor -- First passage time structural models with interest rate risk / Marek Rutkowski -- Pricing options for Markovian models / Gianmario Tessitore and Jerzy Zabczyk -- Three intertwined Brownian topics : exponential functionals, winding numbers, and Ray-Knight theorems on local time / Marc Yor. 
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