This volume comprises selected papers presented at the 12th Winter School on Stochastic Processes and their Applications, which was held in Siegmundsburg, Germany, in March 2000. The contents include Backward Stochastic Differential Equations; Semilinear PDE and SPDE; Arbitrage Theory; Credit Derivatives and Models for Correlated Defaults; Three Intertwined Brownian Topics: Exponential Functionals, Winding Numbers and Local Times. A unique opportunity to read ideas from all the top experts on the subject, Stochastic Processes and Related Topics is intended for postgraduates and researchers working in this area of mathematics and provides a useful source of reference.
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About the Author
Hans J. Engelbert is a Professor of Mathematical Studies at Friedrich Schiller-University of Jena in Germany. Rainer Buckdahn is at the University of West Brittany in France. Marc Yor is at Laboratoire de Probabilities at Universite Pierre et Marie Curie, France.
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First Sentence:
Abstract The paper, written in form of a survey but including the proofs of the key results, introduces the reader into the theory of backward stochastic differential equations and backward doubly stochastic differential equations Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
stochastic viscosity solution, minimax measure, process whose scale function, distance martingale measures, restarting points, viscosity subsolution, symmetric stable processes, optional decomposition, absorbing points, continuous local martingale, proportional transaction costs, exponential functionals, viscosity supersolution, fixed transaction costs, defaultable bond, observed market prices, isolated singular points, local martingales, singular coefficients, backward equation, equivalent martingale measure, derivative prices, stochastic integrals, stochastic differential equations, speed measure Key Phrases - Capitalized Phrases (CAPs): (learn more)
Lecture Notes, New York, Stochastics Stochastics Rep, Finance Stoch, European Call Option, Stochastic Processes Appl, Theory Relat, Cambridge University Press, World Scientific, Theory Probab, Academic Press, Jena Institut, Scuola Normale Superiore, Stochastic Differential Systems New!
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Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
Abstract The paper, written in form of a survey but including the proofs of the key results, introduces the reader into the theory of backward stochastic differential equations and backward doubly stochastic differential equations Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
stochastic viscosity solution, minimax measure, process whose scale function, distance martingale measures, restarting points, viscosity subsolution, symmetric stable processes, optional decomposition, absorbing points, continuous local martingale, proportional transaction costs, exponential functionals, viscosity supersolution, fixed transaction costs, defaultable bond, observed market prices, isolated singular points, local martingales, singular coefficients, backward equation, equivalent martingale measure, derivative prices, stochastic integrals, stochastic differential equations, speed measure Key Phrases - Capitalized Phrases (CAPs): (learn more)
Lecture Notes, New York, Stochastics Stochastics Rep, Finance Stoch, European Call Option, Stochastic Processes Appl, Theory Relat, Cambridge University Press, World Scientific, Theory Probab, Academic Press, Jena Institut, Scuola Normale Superiore, Stochastic Differential Systems New!
Books on Related Topics | Concordance | Text Stats Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
Citations (learn more)
This book cites 14
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- Stochastic Processes by Ken-Iti Sato on page 109, and page 210
- Probabilities and Potential (Mathematics Studies) by Claude Dellacherie on page 51, and page 140
- Contiguity and the Statistical Invariance Principle (Stochastics Monographs, Vol 1) by P. Greenwood in Front Matter
- Nonlinear Stochastic Integrators, Equations and Flows (Stochastics Monographs) by R. A. Carmona in Front Matter
- Applied Stochastic Analysis (Stochastics Monographs) by M. H.a. Davis in Front Matter
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- Stochastic Processes and Related Topics (Stochastics Monographs) by Jeff Englebert in Front Matter (1), and Front Matter (2)
- Paris-Princeton Lectures on Mathematical Finance 2003 (Lecture Notes in Mathematics) by Tomasz R. Bielecki on page 129
- Random Probability Measures on Polish Spaces (Stochastics Monographs) by Hans Crauel in Front Matter
- Partial Differential Equations: Models in Physics and Biology by G?nter Lumer in Back Matter
- From Stochastic Calculus to Mathematical Finance: The Shiryaev Festschrift by Yu. Kabanov on page 248
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