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  Место хранения:   013 | Институт математики СО РАН | Новосибирск | Библиотека

Оглавление / Contents

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