Ebook: Seminar on Stochastic Analysis, Random Fields and Applications: Centro Stefano Franscini, Ascona, 1993

Pure and applied stochastic analysis and random fields form the subject of this book. The collection of articles on these topics represent the state of the art of the research in the field, with particular attention being devoted to stochastic models in finance. Some are review articles, others are original papers; taken together, they will apprise the reader of much of the current activity in the area.

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Content:
Front Matter....Pages i-x
Propagation of Chaos — The Inverse Problem....Pages 1-25
A Remark on Stochastic Dynamics on the Infinite-Dimensional Torus....Pages 27-35
Diffusion-Approximation for the Advection-Diffusion of a Passive Scalar by a Space-Time Gaussian Velocity Field....Pages 37-49
A New Space of White Noise Distributions and Applications to Spde’s....Pages 51-66
Dissipativity of Three-Dimensional Stochastic Navier-Stokes Equation....Pages 67-76
Bernstein Diffusions and Euclidean Quantum Field Theory....Pages 77-97
A Fubini Theorem for Generalized Stratonovich Integrals....Pages 99-110
Large Deviations via Parameter Dependent Change of Measure, and an Application to the Lower Tail of Gaussian Processes....Pages 111-121
An Equation Modelling Transport of a Substance in a Stochastic Medium....Pages 123-134
Stochastic Representation of Unitary Quantum Evolution....Pages 135-149
Density Estimates for Stochastic Partial Differential Equations....Pages 151-168
Almost Sure Convergence of Stochastic Differential Equations of Jump-Diffusion Type....Pages 169-186
Applications and Foundations of Quasi Sure Analysis....Pages 187-197
A Duality Formula on the Poisson Space and Some Applications....Pages 199-203
Generalized Functions and Stochastic Processes....Pages 205-213
On the Geometry Defined by Dirichlet Forms....Pages 215-229
Random Brownian Scaling and Some Absolute Continuity Relationships....Pages 231-242
Recent Progress in the Hypercontractive Semigroups....Pages 243-252
Front Matter....Pages 253-262
Alternative Estimators of a Diffusion Model of the Term Structure of Interest Rates. A Monte Carlo Comparison....Pages 263-263
Front Matter....Pages 265-306
Backward Stochastic Differential Equations. Option Hedging under Additional Cost....Pages 263-263
Componentwise and Vector Stochastic Integration with Respect to Certain Multi-Dimensional Continuous Local Martingales....Pages 307-318
Stock Price Returns and the Joseph Effect: A Fractional Version of the Black-Scholes Model....Pages 319-325
Critical Price for an American Option near Maturity....Pages 327-351
Hedging of Options under Discrete Observation on Assets with Stochastic Volatility....Pages 353-358
Convergence of Option Values under Incompleteness....Pages 359-364
Portfolio Selection with Transaction Costs....Pages 365-384
Back Matter....Pages 385-391
....Pages 392-394