Stochastic Analysis with Financial Applications Hong Kong 2009
Stochastic analysis has a variety of applications to biological systems as well as physical and engineering problems, and its applications to finance and insurance have bloomed exponentially in recent times. The goal of this book is to present a broad ove
- PDF / 5,737,220 Bytes
- 427 Pages / 439.37 x 666.142 pts Page_size
- 98 Downloads / 250 Views
Series Editors Charles Newman Sidney I. Resnick
For other volumes published in this series, go to www.springer.com/series/4839
Stochastic Analysis with Financial Applications Hong Kong 2009
Arturo Kohatsu-Higa Nicolas Privault Shuenn-Jyi Sheu Editors
Editors Arturo Kohatsu-Higa Department of Mathematical Sciences Japan Science and Technology Agency Ritsumeikan University 1-1-1 Nojihigashi, Kusatsu Shiga, 525-8577 Japan [email protected]
Nicolas Privault Division of Mathematical Sciences School of Physical and Mathematical Sciences Nanyang Technological University SPMS-MAS-05-43, 21 Nanyang Link Singapore 637371 [email protected]
Shuenn-Jyi Sheu Department of Mathematics National Central University No. 300, Zhongda Rd., Zhongli City Taoyuan County 320 Taiwan (R.O.C.) [email protected]
2010 Mathematical Subject Classification 60H, 65C, 91B, 91G, 93E ISBN 978-3-0348-0096-9 DOI 10.1007/978-3-0348-0097-6
e-ISBN 978-3-0348-0097-6
Library of Congress Control Number: 2011933482 © Springer Basel AG 2011 This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, re-use of illustrations, recitation, broadcasting, reproduction on microfilms or in other ways, and storage in data banks. For any kind of use, permission of the copyright owner must be obtained. Cover design: deblik, Berlin Printed on acid-free paper Springer Basel AG is part of Springer Science+Business Media www.birkhauser-science.com
Contents Preface . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
vii
List of Speakers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
ix
Part I: Stochastic Analysis N. Bouleau and L. Denis Dirichlet Forms for Poisson Measures and L´evy Processes: The Lent Particle Method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3
S. Chakraborty, E.T. Kolkovska and J.A. L´ opez-Mimbela Stability of a Nonlinear Equation Related to a Spatially-inhomogeneous Branching Process . . . . . . . . . . . . . . . . . . . . . . . . .
21
S.N. Cohen and R.J. Elliott Backward Stochastic Difference Equations with Finite States . . . . . . . .
33
A.B. Cruzeiro and E. Shamarova On a Forward-backward Stochastic System Associated to the Burgers Equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
43
S. Fang and H. Lee On the Estimate for Commutators in DiPerna–Lions Theory . . . . . . . .
61
F. Gao and H. Jiang Approximation Theorem for Stochastic Differential Equations Driven by G-Brownian Motion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
73
B. Goldys and X. Zhang Stochastic Flows for Nonlinear SPDEs Driven by Linear Multiplicative Space-time White Noises . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
83
Y. Ishikawa Optimal Stopping P
Data Loading...
