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020 _a9783034805452
_99783034805452
024 7 _a10.1007/9783034805452
_2doi
035 _avtls000345344
039 9 _a201509030331
_bVLOAD
_c201405050319
_dVLOAD
_y201402061334
_zstaff
040 _aMX-SnUAN
_bspa
_cMX-SnUAN
_erda
050 4 _aQA273.A1-274.9
100 1 _aDalang, Robert C.
_eeditor.
_9324849
245 1 0 _aSeminar on Stochastic Analysis, Random Fields and Applications VII :
_bCentro Stefano Franscini, Ascona, May 2011 /
_cedited by Robert C. Dalang, Marco Dozzi, Francesco Russo.
264 1 _aBasel :
_bSpringer Basel :
_bImprint: Birkhäuser,
_c2013.
300 _axI, 469 páginas 28 ilustraciones, 22 ilustraciones en color.
_brecurso en línea.
336 _atexto
_btxt
_2rdacontent
337 _acomputadora
_bc
_2rdamedia
338 _arecurso en línea
_bcr
_2rdacarrier
347 _aarchivo de texto
_bPDF
_2rda
490 0 _aProgress in Probability ;
_v67
500 _aSpringer eBooks
505 0 _aForeword -- Public lecture by N. Bouleau, Can there be excessive mathematization of the world? -- Part I: Stochastic analysis and random fields R. Balan, Recent advances related to SPDEs with fractional noise -- G. Di Nunno, S.Sjursen, On chaos representation and orthogonal polynomials for the doubly stochastic Poisson process -- R. Eden, F. Viens, General upper and lower tail estimates using Malliavin calculus and Stein's equations -- B. Ferrario, Uniqueness and absolute continuity for semilinear SPDE's -- I. Gyöngy, P.R. Stinga, Rate of convergence of Wong-Zakai approximations for SPDEs -- A. Kohatsu-Higa, H -- L. Ngo, Weak approximations for SDE's driven by Lévy processes -- V. Mandrekar, B. Ruediger, S. Tappe, Itô's formula for Banach space valued jump processes driven by Poisson random measures -- C. Marinelli, Well-posedness for a class of dissipative stochastic evolution equations with Wiener and Poisson noise -- L.M. Morato, S. Ugolini, Localization of relative entropy in Bose-Einstein condensation of trapped interacting bosons -- I. Nourdin, G. Peccati, R. Speicher, Multidimensional semicircular limits on the free Wigner chaos -- S.S. Sritharan and M. Xu, Malliavin Calculus for stochastic point vortex and Lagrangian models -- W. Stannat, Two remarks on the Wasserstein Dirichlet form -- J. Manuel, Erratum -- Part II: Stochastic methods in financial models F. Biagini, Evaluating hybrid products: the interplay between financial and insurance markets -- F.E. Benth, H. Eyjolfsson, Stochastic modeling of power markets using stationary processes -- S. Cawston, L. Vostrikova, F-divergence minimal equivalent martingale measures and optimal portfolios for exponential Lévy models with a change-point -- C. Ceci, Optimal investment-consumption for partially observed jump-diffusions -- R. Cogo, A. Gombani, W.J. Runggaldier, Stochastic control and pricing under swap measures -- D. Filipovic, Variance swap curve models -- B. Jourdain, M. Sbai. Efficient second order weak scheme for stochastic volatility models -- T. Lim, V. Ly Vath, J -- M. Sahut, S. Scotti, Bid-ask spread modelling, a perturbation approach -- A.R.L. Valdez, T. Vargiolu, Optimal portfolio in a regime-switching model.
520 _aThis book presents refereed research or review articles presented at the 7th Seminar on Stochastic Analysis, Random Fields and Applications, which was held at the Centro Stefano Franscini (Monte Verità) in Ascona, Switzerland, in May 2011. The seminar mainly focused on: • stochastic (partial) differential equations, especially with regard to jump processes, construction of solutions and approximations • Malliavin calculus and Stein methods, and other techniques in stochastic analysis, especially chaos representations and convergence, and applications to models of interacting particle systems • stochastic methods in financial models, especially models for power markets or for risk analysis, empirical estimation and approximation, stochastic control and optimal pricing. The notes of the public lecture held by Nicolas Bouleau on the fundamental question of whether there can be an excessive mathematization of the world in an economic context are also included. The book will be a valuable resource for researchers working in stochastic analysis and for professionals interested in stochastic methods in finance. Contributors: R. Balan F.E. Benth F. Biagini N. Bouleau S. Cawston C. Ceci R. Cogo G. Di Nunno R. Eden H. Eyjolfsson B. Ferrario D. Filipovic A. Gombani I. Gyöngy B. Jourdain A. Kohatsu-Higa T. Lim V. Ly Vath V. Mandrekar C. Marinelli L.M. Morato H.-L. Ngo I. Nourdin G. Peccati B. Rüdiger W.J. Runggaldier J.-M. Sahut M. Sbai S. Scotti S. Sjursen R. Speicher S.S. Sritharan W. Stannat P.R. Stinga S. Tappe S. Ugolini A.R.L. Valdez T. Vargiolu F. Viens L. Vostrikova M. Xu
590 _aPara consulta fuera de la UANL se requiere clave de acceso remoto.
700 1 _aDozzi, Marco.
_eeditor.
_9324850
700 1 _aRusso, Francesco.
_eeditor.
_9324851
710 2 _aSpringerLink (Servicio en línea)
_9299170
776 0 8 _iEdición impresa:
_z9783034805445
856 4 0 _uhttp://remoto.dgb.uanl.mx/login?url=http://dx.doi.org/10.1007/978-3-0348-0545-2
_zConectar a Springer E-Books (Para consulta externa se requiere previa autentificación en Biblioteca Digital UANL)
942 _c14
999 _c292784
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