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 | Seminar on stochastic analysis, random fields and applications V: Centro Stefano Franscini, Ascona, May 2005 / ed. by Dalang R.C., Dozzi M., Russo F. - Basel; Boston: Birkhäuser, 2008. - 519 p. - (Progress in probability; Vol. 59). - ISBN 978-3-7643-8457-9
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Preface ........................................................ ix
List of participants ........................................... xi
Stochastic Analysis and Random Fields
Y. Asai and A.E.P. Villa
Detection of Dynamical Systems from Noisy Multivariate
Time Series ..................................................... 3
M. Benaïm and O. Raimond
A Bakry-Emery Criterion for Self-interacting Diffusions ........ 19
H. Bessaih
Stationary Solutions for the 2D Stochastic Dissipative Euler
Equation ....................................................... 23
S. Bonaccorsi
Volterra Equations Perturbed by a Gaussian Noise ............... 37
N. Bouleau
Dirichlet Forms Methods: An Application to the Propagation
of the Error Due to the Euler Scheme ........................... 57
N. Champagnat, R. Ferrière and S. Méléard
Individual-Based Probabilistic Models of Adaptive Evolution
and Various Scaling Approximations ............................. 75
G. Da Prato and M. Röckner
A Note on Evolution Systems of Measures for Time-dependent
Stochastic Differential Equations ............................. 115
F. Flandoli
Remarks on 3D Stochastic Navier-Stokes Equations .............. 123
D. Khoshnevisan
Slices of a Brownian Sheet: New Results and Open Problems ..... 135
T. Komorowski
An Estimate of the Convergence Rate in Diffusion
Approximation of a Particle Motion under Random Forcing ....... 175
R. Léandre
Long-Time Behaviour for the Brownian Heat Kernel on a
Compact Riemannian Manifold and Bismut's Integration-
by-Parts Formula .............................................. 197
P. Lescot and J.-C. Zambrini
Probabilistic Deformation of Contact Geometry, Diffusion
Processes and Their Quadratures ............................... 203
H. Lisei and A. Soós
Approximation of Stochastic Differential Equations Driven by
Fractional Brownian Motion .................................... 227
J.A. López-Mimbela and N. Privault
Critical Exponents for Semilinear PDEs with Bounded
Potentials .................................................... 243
V. Mandrekar and B. Rüdiger
Generalized Ornstein-Uhlenbeck Processes on Separable
Banach Spaces ................................................. 261
A. Millet and M. Sanz-Solé
Approximation of Rough Paths of Fractional Brownian Motion .... 275
A.D. Neate and A. Truman
A One-Dimensional Analysis of Singularities and Turbulence
for the Stochastic Burgers Equation in d Dimensions ........... 305
M. Scheutzow
Attractors for Ergodic and Monotone Random Dynamical
Systems ....................................................... 331
W. Stannat
On the Stability of Feynman-Kac Propagators ................... 345
A.B. Vizcarra and F.G. Viens
Some Applications of the Malliavin Calculus to Sub-Gaussian
and Non-Sub-Gaussian Random Fields ............................ 363
B. Zegarliński
Nonlinear Markovian Problems in Large Dimensions .............. 397
Stochastic Methods in Financial Models
J.-P. Aubin and P. Saint-Pierre
A Tychastic Approach to Guaranteed Pricing and Management of
Portfolios under Transaction Constraints ...................... 411
C. Becker and V. Orlovius
Numerical Aspects of Loan Portfolio Optimization .............. 435
S. Biagini
An Orlicz Spaces Duality for Utility Maximization in
Incomplete Markets ............................................ 445
P. Guasoni
No Free Lunch under Transaction Costs for Continuous
Processes ..................................................... 457
V.B. Hallulli and T. Vargiolu
Robustness of the Hobson-Rogers Model with Respect to the
Offset Function ............................................... 469
H. Nagai and W.J. Runggaldier
PDE Approach to Utility Maximization for Market Models with
Hidden Markov Factors ......................................... 493
M. Pratelli
Generalizations of Merton's Mutual Fund Theorem in
Infinite-Dimensional Financial Models ......................... 507
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