Información del autor
Autor Øksendal, Bernt |
Documentos disponibles escritos por este autor (7)
Refinar búsquedaAdvanced Mathematical Methods for Finance / SpringerLink (Online service) ; Di Nunno, Giulia ; Øksendal, Bernt (2011)
Título : Advanced Mathematical Methods for Finance Tipo de documento: documento electrónico Autores: SpringerLink (Online service) ; Di Nunno, Giulia ; Øksendal, Bernt Editorial: Berlin, Heidelberg : Springer Berlin Heidelberg Fecha de publicación: 2011 Número de páginas: VIII, 536 p Il.: online resource ISBN/ISSN/DL: 978-3-642-18412-3 Idioma : Inglés (eng) Palabras clave: Mathematics Economics, Mathematical Probabilities Sociophysics Econophysics Statistics Macroeconomics Quantitative Finance Probability Theory and Stochastic Processes Macroeconomics/Monetary Economics//Financial Economics Socio- Econophysics, Population Evolutionary Models for Business/Economics/Mathematical Finance/Insurance Clasificación: 51 Matemáticas Resumen: This book presents innovations in the mathematical foundations of financial analysis and numerical methods for finance and applications to the modeling of risk. The topics selected include measures of risk, credit contagion, insider trading, information in finance, stochastic control and its applications to portfolio choices and liquidation, models of liquidity, pricing, and hedging. The models presented are based on the use of Brownian motion, Lévy processes and jump diffusions. Moreover, fractional Brownian motion and ambit processes are also introduced at various levels. The chosen blend of topics gives an overview of the frontiers of mathematics for finance. New results, new methods and new models are all introduced in different forms according to the subject. Additionally, the existing literature on the topic is reviewed. The diversity of the topics makes the book suitable for graduate students, researchers and practitioners in the areas of financial modeling and quantitative finance. The chapters will also be of interest to experts in the financial market interested in new methods and products. This volume presents the results of the European ESF research networking program Advanced Mathematical Methods for Finance Nota de contenido: Dynamic risk measures -- Ambit processes and stochastic partial differential equations -- Fractional processes as models in stochastic finance -- Credit contagion in a long range dependent macroeconomic factor model -- Modeling information flows in financial markets -- An overview of comonotonicity and its applications in finance and insurance -- A general maximum principle for anticipative stochastic control and applications to insider trading -- Analyticity of the Wiener-Hopf factors and valuation of exotic options in Levy models -- Optimal liquidation of a pairs trade -- A PDE-based approach or pricing mortgage-backed securities -- Nonparametric methods for volatility density estimation -- Fractional smoothness and applications in finance -- Liquidity models in continuous and discrete times -- Some new BSDE results for an infinite-horizon stochastic control problem -- Functionals associated with gradient stochastic flows and nonlinear SPDEs -- Fractional smoothness and applications in Finance modeled by F-doubly stochastic Markov chains -- Exotic derivatives under stochastic volatility models with jumps -- Asymptotics of HARA utility from terminal wealth under proportional transaction costs with decision lag or execution delay and obligatory diversification En línea: http://dx.doi.org/10.1007/978-3-642-18412-3 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=33413 Advanced Mathematical Methods for Finance [documento electrónico] / SpringerLink (Online service) ; Di Nunno, Giulia ; Øksendal, Bernt . - Berlin, Heidelberg : Springer Berlin Heidelberg, 2011 . - VIII, 536 p : online resource.
ISBN : 978-3-642-18412-3
Idioma : Inglés (eng)
Palabras clave: Mathematics Economics, Mathematical Probabilities Sociophysics Econophysics Statistics Macroeconomics Quantitative Finance Probability Theory and Stochastic Processes Macroeconomics/Monetary Economics//Financial Economics Socio- Econophysics, Population Evolutionary Models for Business/Economics/Mathematical Finance/Insurance Clasificación: 51 Matemáticas Resumen: This book presents innovations in the mathematical foundations of financial analysis and numerical methods for finance and applications to the modeling of risk. The topics selected include measures of risk, credit contagion, insider trading, information in finance, stochastic control and its applications to portfolio choices and liquidation, models of liquidity, pricing, and hedging. The models presented are based on the use of Brownian motion, Lévy processes and jump diffusions. Moreover, fractional Brownian motion and ambit processes are also introduced at various levels. The chosen blend of topics gives an overview of the frontiers of mathematics for finance. New results, new methods and new models are all introduced in different forms according to the subject. Additionally, the existing literature on the topic is reviewed. The diversity of the topics makes the book suitable for graduate students, researchers and practitioners in the areas of financial modeling and quantitative finance. The chapters will also be of interest to experts in the financial market interested in new methods and products. This volume presents the results of the European ESF research networking program Advanced Mathematical Methods for Finance Nota de contenido: Dynamic risk measures -- Ambit processes and stochastic partial differential equations -- Fractional processes as models in stochastic finance -- Credit contagion in a long range dependent macroeconomic factor model -- Modeling information flows in financial markets -- An overview of comonotonicity and its applications in finance and insurance -- A general maximum principle for anticipative stochastic control and applications to insider trading -- Analyticity of the Wiener-Hopf factors and valuation of exotic options in Levy models -- Optimal liquidation of a pairs trade -- A PDE-based approach or pricing mortgage-backed securities -- Nonparametric methods for volatility density estimation -- Fractional smoothness and applications in finance -- Liquidity models in continuous and discrete times -- Some new BSDE results for an infinite-horizon stochastic control problem -- Functionals associated with gradient stochastic flows and nonlinear SPDEs -- Fractional smoothness and applications in Finance modeled by F-doubly stochastic Markov chains -- Exotic derivatives under stochastic volatility models with jumps -- Asymptotics of HARA utility from terminal wealth under proportional transaction costs with decision lag or execution delay and obligatory diversification En línea: http://dx.doi.org/10.1007/978-3-642-18412-3 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=33413 Ejemplares
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Título : Applied Stochastic Control of Jump Diffusions Tipo de documento: documento electrónico Autores: Øksendal, Bernt ; SpringerLink (Online service) ; Sulem, Agnès Editorial: Berlin, Heidelberg : Springer Berlin Heidelberg Fecha de publicación: 2005 Colección: Universitext, ISSN 0172-5939 Número de páginas: X, 214 p Il.: online resource ISBN/ISSN/DL: 978-3-540-26441-5 Idioma : Inglés (eng) Palabras clave: Mathematics Operator theory Economics, Mathematical Operations research Management science Probabilities Probability Theory and Stochastic Processes Research, Science Quantitative Finance Clasificación: 51 Matemáticas Resumen: The main purpose of the book is to give a rigorous, yet mostly nontechnical, introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions (i.e. solutions of stochastic differential equations driven by Lévy processes) and its applications. The types of control problems covered include classical stochastic control, optimal stopping, impulse control and singular control. Both the dynamic programming method and the maximum principle method are discussed, as well as the relation between them. Corresponding verification theorems involving the Hamilton-Jacobi Bellman equation and/or (quasi-)variational inequalities are formulated. There are also chapters on the viscosity solution formulation and numerical methods. The text emphasises applications, mostly to finance. All the main results are illustrated by examples and exercises appear at the end of each chapter with complete solutions. This will help the reader understand the theory and see how to apply it. The book assumes some basic knowledge of stochastic analysis, measure theory and partial differential equations Nota de contenido: Stochastic Calculus with Jump diffusions -- Optimal Stopping of Jump Diffusions -- Stochastic Control of Jump Diffusions -- Combined Optimal Stopping and Stochastic Control of Jump Diffusions -- Singular Control for Jump Diffusions -- Impulse Control of Jump Diffusions -- Approximating Impulse Control of Diffusions by Iterated Optimal Stopping -- Combined Stochastic Control and Impulse Control of Jump Diffusions -- Viscosity Solutions -- Solutions of Selected Exercises En línea: http://dx.doi.org/10.1007/b137590 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=35237 Applied Stochastic Control of Jump Diffusions [documento electrónico] / Øksendal, Bernt ; SpringerLink (Online service) ; Sulem, Agnès . - Berlin, Heidelberg : Springer Berlin Heidelberg, 2005 . - X, 214 p : online resource. - (Universitext, ISSN 0172-5939) .
ISBN : 978-3-540-26441-5
Idioma : Inglés (eng)
Palabras clave: Mathematics Operator theory Economics, Mathematical Operations research Management science Probabilities Probability Theory and Stochastic Processes Research, Science Quantitative Finance Clasificación: 51 Matemáticas Resumen: The main purpose of the book is to give a rigorous, yet mostly nontechnical, introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions (i.e. solutions of stochastic differential equations driven by Lévy processes) and its applications. The types of control problems covered include classical stochastic control, optimal stopping, impulse control and singular control. Both the dynamic programming method and the maximum principle method are discussed, as well as the relation between them. Corresponding verification theorems involving the Hamilton-Jacobi Bellman equation and/or (quasi-)variational inequalities are formulated. There are also chapters on the viscosity solution formulation and numerical methods. The text emphasises applications, mostly to finance. All the main results are illustrated by examples and exercises appear at the end of each chapter with complete solutions. This will help the reader understand the theory and see how to apply it. The book assumes some basic knowledge of stochastic analysis, measure theory and partial differential equations Nota de contenido: Stochastic Calculus with Jump diffusions -- Optimal Stopping of Jump Diffusions -- Stochastic Control of Jump Diffusions -- Combined Optimal Stopping and Stochastic Control of Jump Diffusions -- Singular Control for Jump Diffusions -- Impulse Control of Jump Diffusions -- Approximating Impulse Control of Diffusions by Iterated Optimal Stopping -- Combined Stochastic Control and Impulse Control of Jump Diffusions -- Viscosity Solutions -- Solutions of Selected Exercises En línea: http://dx.doi.org/10.1007/b137590 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=35237 Ejemplares
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Título : Applied Stochastic Control of Jump Diffusions Tipo de documento: documento electrónico Autores: Øksendal, Bernt ; SpringerLink (Online service) ; Sulem, Agnès Editorial: Berlin, Heidelberg : Springer Berlin Heidelberg Fecha de publicación: 2007 Colección: Universitext, ISSN 0172-5939 Número de páginas: XIV, 262 p. 27 illus Il.: online resource ISBN/ISSN/DL: 978-3-540-69826-5 Idioma : Inglés (eng) Palabras clave: Mathematics Operator theory Economics, Mathematical Operations research Management science Probabilities Probability Theory and Stochastic Processes Research, Science Quantitative Finance Clasificación: 51 Matemáticas Resumen: The main purpose of the book is to give a rigorous, yet mostly nontechnical, introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and its applications. The types of control problems covered include classical stochastic control, optimal stopping, impulse control and singular control. Both the dynamic programming method and the maximum principle method are discussed, as well as the relation between them. Corresponding verification theorems involving the Hamilton-Jacobi Bellman equation and/or (quasi-)variational inequalities are formulated. There are also chapters on the viscosity solution formulation and numerical methods. The text emphasises applications, mostly to finance. All the main results are illustrated by examples and exercises appear at the end of each chapter with complete solutions. This will help the reader understand the theory and see how to apply it. The book assumes some basic knowledge of stochastic analysis, measure theory and partial differential equations. In the 2nd edition there is a new chapter on optimal control of stochastic partial differential equations driven by Lévy processes. There is also a new section on optimal stopping with delayed information. Moreover, corrections and other improvements have been made Nota de contenido: Stochastic Calculus with Jump Diffusions -- Optimal Stopping of Jump Diffusions -- Stochastic Control of Jump Diffusions -- Combined Optimal Stopping and Stochastic Control of Jump Diffusions -- Singular Control for Jump Diffusions -- Impulse Control of Jump Diffusions -- Approximating Impulse Control by Iterated Optimal Stopping -- Combined Stochastic Control and Impulse Control of Jump Diffusions -- Viscosity Solutions -- Optimal Control of Random Jump Fields and Partial Information Control -- Solutions of Selected Exercises En línea: http://dx.doi.org/10.1007/978-3-540-69826-5 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=34654 Applied Stochastic Control of Jump Diffusions [documento electrónico] / Øksendal, Bernt ; SpringerLink (Online service) ; Sulem, Agnès . - Berlin, Heidelberg : Springer Berlin Heidelberg, 2007 . - XIV, 262 p. 27 illus : online resource. - (Universitext, ISSN 0172-5939) .
ISBN : 978-3-540-69826-5
Idioma : Inglés (eng)
Palabras clave: Mathematics Operator theory Economics, Mathematical Operations research Management science Probabilities Probability Theory and Stochastic Processes Research, Science Quantitative Finance Clasificación: 51 Matemáticas Resumen: The main purpose of the book is to give a rigorous, yet mostly nontechnical, introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and its applications. The types of control problems covered include classical stochastic control, optimal stopping, impulse control and singular control. Both the dynamic programming method and the maximum principle method are discussed, as well as the relation between them. Corresponding verification theorems involving the Hamilton-Jacobi Bellman equation and/or (quasi-)variational inequalities are formulated. There are also chapters on the viscosity solution formulation and numerical methods. The text emphasises applications, mostly to finance. All the main results are illustrated by examples and exercises appear at the end of each chapter with complete solutions. This will help the reader understand the theory and see how to apply it. The book assumes some basic knowledge of stochastic analysis, measure theory and partial differential equations. In the 2nd edition there is a new chapter on optimal control of stochastic partial differential equations driven by Lévy processes. There is also a new section on optimal stopping with delayed information. Moreover, corrections and other improvements have been made Nota de contenido: Stochastic Calculus with Jump Diffusions -- Optimal Stopping of Jump Diffusions -- Stochastic Control of Jump Diffusions -- Combined Optimal Stopping and Stochastic Control of Jump Diffusions -- Singular Control for Jump Diffusions -- Impulse Control of Jump Diffusions -- Approximating Impulse Control by Iterated Optimal Stopping -- Combined Stochastic Control and Impulse Control of Jump Diffusions -- Viscosity Solutions -- Optimal Control of Random Jump Fields and Partial Information Control -- Solutions of Selected Exercises En línea: http://dx.doi.org/10.1007/978-3-540-69826-5 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=34654 Ejemplares
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Título : Malliavin Calculus for Lévy Processes with Applications to Finance Tipo de documento: documento electrónico Autores: SpringerLink (Online service) ; Nunno, Giulia Di ; Øksendal, Bernt ; Proske, Frank Editorial: Berlin, Heidelberg : Springer Berlin Heidelberg Fecha de publicación: 2009 Colección: Universitext, ISSN 0172-5939 Número de páginas: XIV, 418 p Il.: online resource ISBN/ISSN/DL: 978-3-540-78572-9 Idioma : Inglés (eng) Palabras clave: Mathematics Economics, Mathematical Probabilities Probability Theory and Stochastic Processes Quantitative Finance Clasificación: 51 Matemáticas Resumen: While the original works on Malliavin calculus aimed to study the smoothness of densities of solutions to stochastic differential equations, this book has another goal. It portrays the most important and innovative applications in stochastic control and finance, such as hedging in complete and incomplete markets, optimisation in the presence of asymmetric information and also pricing and sensitivity analysis. In a self-contained fashion, both the Malliavin calculus with respect to Brownian motion and general Lévy type of noise are treated. Besides, forward integration is included and indeed extended to general Lévy processes. The forward integration is a recent development within anticipative stochastic calculus that, together with the Malliavin calculus, provides new methods for the study of insider trading problems. To allow more flexibility in the treatment of the mathematical tools, the generalization of Malliavin calculus to the white noise framework is also discussed. This book is a valuable resource for graduate students, lecturers in stochastic analysis and applied researchers Nota de contenido: The Continuous Case: Brownian Motion -- The Wiener—Itô Chaos Expansion -- The Skorohod Integral -- Malliavin Derivative via Chaos Expansion -- Integral Representations and the Clark—Ocone formula -- White Noise, the Wick Product, and Stochastic Integration -- The Hida—Malliavin Derivative on the Space ? = S?(?) -- The Donsker Delta Function and Applications -- The Forward Integral and Applications -- The Discontinuous Case: Pure Jump Lévy Processes -- A Short Introduction to Lévy Processes -- The Wiener—Itô Chaos Expansion -- Skorohod Integrals -- The Malliavin Derivative -- Lévy White Noise and Stochastic Distributions -- The Donsker Delta Function of a Lévy Process and Applications -- The Forward Integral -- Applications to Stochastic Control: Partial and Inside Information -- Regularity of Solutions of SDEs Driven by Lévy Processes -- Absolute Continuity of Probability Laws En línea: http://dx.doi.org/10.1007/978-3-540-78572-9 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=34028 Malliavin Calculus for Lévy Processes with Applications to Finance [documento electrónico] / SpringerLink (Online service) ; Nunno, Giulia Di ; Øksendal, Bernt ; Proske, Frank . - Berlin, Heidelberg : Springer Berlin Heidelberg, 2009 . - XIV, 418 p : online resource. - (Universitext, ISSN 0172-5939) .
ISBN : 978-3-540-78572-9
Idioma : Inglés (eng)
Palabras clave: Mathematics Economics, Mathematical Probabilities Probability Theory and Stochastic Processes Quantitative Finance Clasificación: 51 Matemáticas Resumen: While the original works on Malliavin calculus aimed to study the smoothness of densities of solutions to stochastic differential equations, this book has another goal. It portrays the most important and innovative applications in stochastic control and finance, such as hedging in complete and incomplete markets, optimisation in the presence of asymmetric information and also pricing and sensitivity analysis. In a self-contained fashion, both the Malliavin calculus with respect to Brownian motion and general Lévy type of noise are treated. Besides, forward integration is included and indeed extended to general Lévy processes. The forward integration is a recent development within anticipative stochastic calculus that, together with the Malliavin calculus, provides new methods for the study of insider trading problems. To allow more flexibility in the treatment of the mathematical tools, the generalization of Malliavin calculus to the white noise framework is also discussed. This book is a valuable resource for graduate students, lecturers in stochastic analysis and applied researchers Nota de contenido: The Continuous Case: Brownian Motion -- The Wiener—Itô Chaos Expansion -- The Skorohod Integral -- Malliavin Derivative via Chaos Expansion -- Integral Representations and the Clark—Ocone formula -- White Noise, the Wick Product, and Stochastic Integration -- The Hida—Malliavin Derivative on the Space ? = S?(?) -- The Donsker Delta Function and Applications -- The Forward Integral and Applications -- The Discontinuous Case: Pure Jump Lévy Processes -- A Short Introduction to Lévy Processes -- The Wiener—Itô Chaos Expansion -- Skorohod Integrals -- The Malliavin Derivative -- Lévy White Noise and Stochastic Distributions -- The Donsker Delta Function of a Lévy Process and Applications -- The Forward Integral -- Applications to Stochastic Control: Partial and Inside Information -- Regularity of Solutions of SDEs Driven by Lévy Processes -- Absolute Continuity of Probability Laws En línea: http://dx.doi.org/10.1007/978-3-540-78572-9 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=34028 Ejemplares
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Título : Stochastic Analysis and Applications : The Abel Symposium 2005 Tipo de documento: documento electrónico Autores: SpringerLink (Online service) ; Fred Espen Benth ; Nunno, Giulia Di ; Lindstrøm, Tom ; Øksendal, Bernt ; Zhang, Tusheng Editorial: Berlin, Heidelberg : Springer Berlin Heidelberg Fecha de publicación: 2007 Colección: Abel Symposia, ISSN 2193-2808 num. 2 Número de páginas: XI, 678 p Il.: online resource ISBN/ISSN/DL: 978-3-540-70847-6 Idioma : Inglés (eng) Palabras clave: Mathematics Mathematical analysis Analysis (Mathematics) Functions of real variables Applied mathematics Engineering Economics, Probabilities Statistics Probability Theory and Stochastic Processes Applications Real Statistical Methods Quantitative Finance Clasificación: 51 Matemáticas Resumen: Kiyosi Ito, the founder of stochastic calculus, is one of the few central figures of the twentieth century mathematics who reshaped the mathematical world. Today stochastic calculus is a central research field with applications in several other mathematical disciplines, for example physics, engineering, biology, economics and finance. The Abel Symposium 2005 was organized as a tribute to the work of Kiyosi Ito on the occasion of his 90th birthday. Distinguished researchers from all over the world were invited to present the newest developments within the exciting and fast growing field of stochastic analysis. The present volume combines both papers from the invited speakers and contributions by the presenting lecturers. A special feature is the Memoirs that Kiyoshi Ito wrote for this occasion. These are valuable pages for both young and established researchers in the field Nota de contenido: Memoirs of My Research on Stochastic Analysis -- Itô Calculus and Quantum White Noise Calculus -- Homogenization of Diffusions on the Lattice Zd with Periodic Drift Coefficients, Applying a Logarithmic Sobolev Inequality or a Weak Poincaré Inequality -- Theory and Applications of Infinite Dimensional Oscillatory Integrals -- Ambit Processes; with Applications to Turbulence and Tumour Growth -- A Stochastic Control Approach to a Robust Utility Maximization Problem -- Extending Markov Processes in Weak Duality by Poisson Point Processes of Excursions -- Hedging with Options in Models with Jumps -- Power Variation Analysis of Some Integral Long-Memory Processes -- Kolmogorov Equations for Stochastic PDE's with Multiplicative Noise -- Stochastic Integrals and Adjoint Derivatives -- An Application of Probability to Nonlinear Analysis -- The Space of Stochastic Differential Equations -- Extremes of supOU Processes -- Gaussian Bridges -- Some of the Recent Topics on Stochastic Analysis -- Differential Equations Driven by Hölder Continuous Functions of Order Greater than 1/2 -- On Asymptotics of Banach Space-valued Itô Functionals of Brownian Rough Paths -- Continuous-Time Markowitz's Problems in an Incomplete Market, with No-Shorting Portfolios -- Quantum and Classical Conserved Quantities: Martingales, Conservation Laws and Constants of Motion -- Different Lattice Approximations for Hôegh-Krohn's Quantum Field Model -- Itô Atlas, its Application to Mathematical Finance and to Exponentiation of Infinite Dimensional Lie Algebras -- The Invariant Distribution of a Diffusion: Some New Aspects -- Formation of Singularities in Madelung Fluid: A Nonconventional Application of Itô Calculus to Foundations of Quantum Mechanics -- G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type -- Perpetual Integral Functionals of Diffusions and their Numerical Computations -- Chaos Expansions and Malliavin Calculus for Lévy Processes -- Study of Simple but Challenging Diffusion Equation -- Itô Calculus and Malliavin Calculus -- The Malliavin Calculus for Processes with Conditionally Independent Increments En línea: http://dx.doi.org/10.1007/978-3-540-70847-6 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=34656 Stochastic Analysis and Applications : The Abel Symposium 2005 [documento electrónico] / SpringerLink (Online service) ; Fred Espen Benth ; Nunno, Giulia Di ; Lindstrøm, Tom ; Øksendal, Bernt ; Zhang, Tusheng . - Berlin, Heidelberg : Springer Berlin Heidelberg, 2007 . - XI, 678 p : online resource. - (Abel Symposia, ISSN 2193-2808; 2) .
ISBN : 978-3-540-70847-6
Idioma : Inglés (eng)
Palabras clave: Mathematics Mathematical analysis Analysis (Mathematics) Functions of real variables Applied mathematics Engineering Economics, Probabilities Statistics Probability Theory and Stochastic Processes Applications Real Statistical Methods Quantitative Finance Clasificación: 51 Matemáticas Resumen: Kiyosi Ito, the founder of stochastic calculus, is one of the few central figures of the twentieth century mathematics who reshaped the mathematical world. Today stochastic calculus is a central research field with applications in several other mathematical disciplines, for example physics, engineering, biology, economics and finance. The Abel Symposium 2005 was organized as a tribute to the work of Kiyosi Ito on the occasion of his 90th birthday. Distinguished researchers from all over the world were invited to present the newest developments within the exciting and fast growing field of stochastic analysis. The present volume combines both papers from the invited speakers and contributions by the presenting lecturers. A special feature is the Memoirs that Kiyoshi Ito wrote for this occasion. These are valuable pages for both young and established researchers in the field Nota de contenido: Memoirs of My Research on Stochastic Analysis -- Itô Calculus and Quantum White Noise Calculus -- Homogenization of Diffusions on the Lattice Zd with Periodic Drift Coefficients, Applying a Logarithmic Sobolev Inequality or a Weak Poincaré Inequality -- Theory and Applications of Infinite Dimensional Oscillatory Integrals -- Ambit Processes; with Applications to Turbulence and Tumour Growth -- A Stochastic Control Approach to a Robust Utility Maximization Problem -- Extending Markov Processes in Weak Duality by Poisson Point Processes of Excursions -- Hedging with Options in Models with Jumps -- Power Variation Analysis of Some Integral Long-Memory Processes -- Kolmogorov Equations for Stochastic PDE's with Multiplicative Noise -- Stochastic Integrals and Adjoint Derivatives -- An Application of Probability to Nonlinear Analysis -- The Space of Stochastic Differential Equations -- Extremes of supOU Processes -- Gaussian Bridges -- Some of the Recent Topics on Stochastic Analysis -- Differential Equations Driven by Hölder Continuous Functions of Order Greater than 1/2 -- On Asymptotics of Banach Space-valued Itô Functionals of Brownian Rough Paths -- Continuous-Time Markowitz's Problems in an Incomplete Market, with No-Shorting Portfolios -- Quantum and Classical Conserved Quantities: Martingales, Conservation Laws and Constants of Motion -- Different Lattice Approximations for Hôegh-Krohn's Quantum Field Model -- Itô Atlas, its Application to Mathematical Finance and to Exponentiation of Infinite Dimensional Lie Algebras -- The Invariant Distribution of a Diffusion: Some New Aspects -- Formation of Singularities in Madelung Fluid: A Nonconventional Application of Itô Calculus to Foundations of Quantum Mechanics -- G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type -- Perpetual Integral Functionals of Diffusions and their Numerical Computations -- Chaos Expansions and Malliavin Calculus for Lévy Processes -- Study of Simple but Challenging Diffusion Equation -- Itô Calculus and Malliavin Calculus -- The Malliavin Calculus for Processes with Conditionally Independent Increments En línea: http://dx.doi.org/10.1007/978-3-540-70847-6 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=34656 Ejemplares
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