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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Full Text (via Taylor & Francis) |
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| Format: | Conference Proceeding eBook |
| Language: | English |
| Published: |
London ; New York :
Taylor & Francis,
2002.
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| Series: | Stochastics monographs ;
v. 12. |
| Subjects: |
Table of Contents:
- 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.