Stochastic Differential Equations and Processes SAAP, Tunisia, Octob
Selected papers submitted by participants of the international Conference “Stochastic Analysis and Applied Probability 2010” ( www.saap2010.org ) make up the basis of this volume.The SAAP 2010 was held in Tunisia, from 7-9 October, 2010, and was organized
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The book series will feature volumes of selected contributions from workshops and conferences in all areas of current research activity in mathematics. Besides an overall evaluation, at the hands of the publisher, of the interest, scientific quality, and timeliness of each proposal, every individual contribution will be refereed to standards comparable to those of leading mathematics journals. It is hoped that this series will thus propose to the research community well-edited and authoritative reports on newest developments in the most interesting and promising areas of mathematical research today.
Mounir Zili
Darya V. Filatova
Editors
Stochastic Differential Equations and Processes SAAP, Tunisia, October 7-9, 2010
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Editors Mounir Zili Preparatory Institute to the Military Academies Department of Mathematics Avenue Marechal Tito 4029 Sousse Tunisia [email protected]
Darya V. Filatova Jan Kochanowski University in Kielce ul. Krakowska 11 25-029 Kielce Poland daria [email protected]
ISSN 2190-5614 ISBN 978-3-642-22367-9 e-ISBN 978-3-642-22368-6 DOI 10.1007/978-3-642-22368-6 Springer Heidelberg Dordrecht London New York Library of Congress Control Number: 2011938117 Mathematical Subject Classification (2010): 60HXX, 60GXX, 60FXX, 91BXX, 93BXX, 92DX c Springer-Verlag Berlin Heidelberg 2012 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, reuse of illustrations, recitation, broadcasting, reproduction on microfilm or in any other way, and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9, 1965, in its current version, and permission for use must always be obtained from Springer. Violations are liable to prosecution under the German Copyright Law. The use of general descriptive names, registered names, trademarks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. Cover design: deblik, Berlin Printed on acid-free paper Springer is part of Springer Science+Business Media (www.springer.com)
Preface
Stochastic analysis is currently undergoing a period of intensive research and various new developments, motivated in part by the need to model, understand, forecast, and control the behavior of many natural phenomena that evolve in time in a random way. Such phenomena appear in the fields of finance, telecommunications, economics, biology, geology, demography, physics, chemistry, signal processing, and modern control theory, to mention just a few. Often, it is very convenient to use stochastic differential equations and stochastic processes to study stochastic dynamics. In such cases, research needs the guarantee of some theoretical properties,
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