Verfügbarkeit: Stochastic Analysis and Related Topics

Stochastic Analysis and Related Topics: In Honour of Ali Süleyman Üstünel, Paris, June 2010

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Format:	Buch
Sprache:	English
Veröffentlicht:	Heidelberg Springer 2012
Schriftenreihe:	Springer Proceedings in Mathematics & Statistics 22
Schlagworte:	Stochastische Analysis Festschrift Konferenzschrift > 2010 > Paris
Online-Zugang:	Inhaltstext Inhaltsverzeichnis
Beschreibung:	XII, 214 S.
ISBN:	9783642299810

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MARC


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Datensatz im Suchindex

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adam_text	IMAGE 1 CONTENTS 1 A LOOK-DOWN MODEL WITH SELECTION 1 BOUBACAR BAH, ETIENNE PARDOUX, AND AHMADOU BAMBA SOW 1.1 INTRODUCTION AND PRELIMINARIES 1 1.2 WRIGHT-FISHER DIFFUSION WITH SELECTION AND DUALITY 3 1.3 LOOK-DOWN WITH SELECTION, EXCHANGEABILITY 5 1.4 CONVERGENCE TO THE WRIGHT-FISHER DIFFUSION WITH SELECTION 14 REFERENCES 28 2 CONTROL O F INVENTORIES WITH MARKOV DEMAND 29 ALAIN BENSOUSSAN 2.1 INTRODUCTION 29 2.2 NO BACKLOG AND N O SET-UP COST 30 2.3 NO BACKLOG AND SET-UP COST 4 7 REFERENCES 55 3 ON THE SPLITTING METHOD FOR SOME COMPLEX-VALUED QUASILINEAR EVOLUTION EQUATIONS 57 ZDZISLAW BRZEZNIAK AND ANNIE MILLET 3.1 INTRODUCTION 57 3.2 WELL-POSEDNESS AND FIRST A PRIORI ESTIMATES 6 0 3.3 SPEED O F CONVERGENCE 73 3.4 SPEED OF CONVERGENCE FOR THE SPLITTING METHOD 86 REFERENCES 89 4 A MODELIZATION O F PUBLIC-PRIVATE PARTNERSHIPS WITH FAILURE TIME 91 CAROLINE HILLAIRET AND MONIQUE PONTIER 4.1 INTRODUCTION 9 2 4.2 THE PROBLEM SETTING 92 4.3 SOLUTION OF THE PROBLEM WITHOUT DEFAULT 9 4 4.4 INTRODUCTION O F A DEFAULT TIME, WITHOUT PENALTY 101 4.5 PENALTY IN CASE O F DEFAULT WITH R = 0 110 I X HTTP://D-NB.INFO/1021598453 IMAGE 2 X CONTENTS 4.6 CONCLUSION 117 REFERENCES 117 5 O N A FLOW O F TRANSFORMATIONS O F A WIENER SPACE 119 JOSEPH NAJNUDEL, DANIEL STROOCK, AND MARC YOR 5.1 INTRODUCTION 119 5.2 PRELIMINARY DESCRIPTION O F THE FLOW 122 5.3 A MORE EXPLICIT EXPRESSION 124 5.4 A TWO PARAMETER GAUSSIAN PROCESS 129 REFERENCES 131 6 MEASURE INVARIANCE ON THE LIE-WIENER PATH SPACE 133 NICOLAS PRIVAULT 6.1 INTRODUCTION 133 6.2 THE LIE-WIENER PATH SPACE 135 6.3 MOMENT IDENTITIES ON PATH SPACE 140 6.4 RANDOM HERMITE POLYNOMIALS ON PATH SPACE 143 6.5 GIRSANOV IDENTITIES ON PATH SPACE 148 REFERENCES 150 7 DERIVATIVES O F SOLUTIONS O F SEMILINEAR PARABOLIC PDES AND VARIATIONAL INEQUALITIES WITH NEUMANN BOUNDARY CONDITIONS 153 DENIS TALAY 7.1 MOTIVATION 154 7.2 OUR KEY TOOL: DERIVATIVES OF FLOWS O F I D REFLECTED DIFFUSIONS 156 7.3 STOCHASTIC REPRESENTATIONS O F DERIVATIVES O F SOLUTIONS OF SEMILINEAR PARABOLIC PDES 160 7.4 STOCHASTIC REPRESENTATIONS OF DERIVATIVES OF SOLUTIONS OF I D VARIATIONAL INEQUALITIES 163 7.5 CONCLUSION 165 REFERENCES 167 8 SOME DIFFERENTIAL SYSTEMS DRIVEN BY A FBM WITH HURST PARAMETER GREATER THAN 1/4 169 SAMY TINDEL AND IVAN TORRECILLA 8.1 INTRODUCTION 169 8.2 INCREMENTS 171 8.3 ABSTRACT RESULTS 175 8.4 APPLICATION TO FRACTIONAL BROWNIAN MOTION 186 REFERENCES 201 9 TRANSPORTATION COST INEQUALITIES FOR DIFFUSIONS UNDER UNIFORM DISTANCE 203 ALI SULEYMAN USTIINEL 9.1 INTRODUCTION 203 9.2 DIFFUSION TYPE PROCESSES WITH LIPSCHITZ COEFFICIENTS 205 9.3 TRANSPORT INEQUALITY FOR THE MONOTONE CASE 209 REFERENCES 213
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title	Stochastic Analysis and Related Topics In Honour of Ali Süleyman Üstünel, Paris, June 2010
title_auth	Stochastic Analysis and Related Topics In Honour of Ali Süleyman Üstünel, Paris, June 2010
title_exact_search	Stochastic Analysis and Related Topics In Honour of Ali Süleyman Üstünel, Paris, June 2010
title_full	Stochastic Analysis and Related Topics In Honour of Ali Süleyman Üstünel, Paris, June 2010 Laurent Decreusefon ..., eds.
title_fullStr	Stochastic Analysis and Related Topics In Honour of Ali Süleyman Üstünel, Paris, June 2010 Laurent Decreusefon ..., eds.
title_full_unstemmed	Stochastic Analysis and Related Topics In Honour of Ali Süleyman Üstünel, Paris, June 2010 Laurent Decreusefon ..., eds.
title_short	Stochastic Analysis and Related Topics
title_sort	stochastic analysis and related topics in honour of ali suleyman ustunel paris june 2010
title_sub	In Honour of Ali Süleyman Üstünel, Paris, June 2010
topic	Stochastische Analysis (DE-588)4132272-1 gnd
topic_facet	Stochastische Analysis Festschrift Konferenzschrift 2010 Paris
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