Stochastic analysis and applications to finance: essays in honour of Jia-an Yan
Saved in:
| Format: | Book |
|---|---|
| Language: | English |
| Published: |
Singapore [u.a.]
World Scientific
2012
|
| Series: | Interdisciplinary mathematical sciences
13 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XIII, 450 S. Ill., graph. Darst. |
| ISBN: | 9789814383578 9814383570 |
Staff View
MARC
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Record in the Search Index
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| adam_text | Titel: Stochastic analysis and applications to finance
Autor: Zhang, Tusheng
Jahr: 2012
Contents
Editorial Foreword
A Biographical Note and Tribute to Jia-An Yan On His 70th Birthday
1. Non-linear evolution equations driven by rough paths
Thomas Cass, Zhongmin Qian and Jan Tudor
2. Optimal stopping times with different information levels and with time
uncertainty
Arijit Chakrabarty and Xin Guo
3. Finite horizon optimal investment and consumption with CARA
utility and proportional transaction costs
Yingshan Chen, Min Dai and Kun Zhao
4. Uniform integrability of exponential martingales and spectral bounds
of non-local Feynman-Kac semigroups
Zhen-Qing Chen
5. Continuous-time mean-variance portfolio selection with finite transactions
Xiangyu Cui, Jianjun Gao and Duan Li
6. Quantifying model uncertainties in the space of probability measures
J. Duan, T. Gao and G. He
vii
ix
1
19
39
55
77
99
7. A PDE approach to multivariate risk theory
Robert J. Elliott, Tak Kuen Siu and Hailiang Yang
8. Stochastic analysis on loop groups
Shizan Fang
9. Existence and stability of measure solutions for BSDE with generators
of quadratic growth
Alexander Fromm, Peter Imkeller and Jianing Zhang
10. Convex capital requirements for large portfolios
Hans Föllmer and Thomas Knispel
11. The mixed equilibrium of insider trading in the market with rational
expected price
Fuzhou Gong and Hong Liu
12. Some results on backward stochastic differential equations driven by
fractional Brownian motions
Yaozhong Hu, Daniel Ocone and Jian Song
13. Potential theory of subordinate Brownian motions revisited
Panki Kim, Renming Song and Zoran Vondracek
14. Research on social causes of the financial crisis
Steven Kou
15. Wick formulas and inequalities for the quaternion Gaussian and ß-
permanental variables
Wenbo V. Li and Ang Wei
16. Further study on web Markov skeleton processes
Yuting Liu, Zhi-Ming Ma and Chuan Zhou
17. MLE of parameters in the drifted Brownian motion and its error
Lemee Nakamura and Weian Zheng
111
125
137
169
197
225
243
291
303
313
341
18. Optimal partial information control of SPDEs with delay and time-
advanced backward SPDEs 355
Bernt 0ksendal, Agnès Sulem and Tusheng Zhang
19. Simulation of diversified portfolios in continuous financial markets 385
Eckhard Platen and Renata Rendek
20. Coupling and applications 411
Feng-Yu Wang
21. SDEs and a generalised Burgers equation 425
Jiang-Lun Wu and Wei Yang
22. Mean-variance hedging in the discontinuous case 437
Jianming Xia
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| indexdate | 2024-07-10T00:23:39Z |
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| isbn | 9789814383578 9814383570 |
| language | English |
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| physical | XIII, 450 S. Ill., graph. Darst. |
| publishDate | 2012 |
| publishDateSearch | 2012 |
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| publisher | World Scientific |
| record_format | marc |
| series | Interdisciplinary mathematical sciences |
| series2 | Interdisciplinary mathematical sciences |
| spelling | Stochastic analysis and applications to finance essays in honour of Jia-an Yan ed. Tusheng Zhang ... Singapore [u.a.] World Scientific 2012 XIII, 450 S. Ill., graph. Darst. txt rdacontent n rdamedia nc rdacarrier Interdisciplinary mathematical sciences 13 Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Stochastische Analysis (DE-588)4132272-1 gnd rswk-swf (DE-588)4016928-5 Festschrift gnd-content Stochastische Analysis (DE-588)4132272-1 s Finanzmathematik (DE-588)4017195-4 s DE-604 Zhang, Tusheng 1963- Sonstige (DE-588)137051581 oth Yan, Jia-an 1941- (DE-588)1031504184 hnr Interdisciplinary mathematical sciences 13 (DE-604)BV035420471 13 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025272206&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Stochastic analysis and applications to finance essays in honour of Jia-an Yan Interdisciplinary mathematical sciences Finanzmathematik (DE-588)4017195-4 gnd Stochastische Analysis (DE-588)4132272-1 gnd |
| subject_GND | (DE-588)4017195-4 (DE-588)4132272-1 (DE-588)4016928-5 |
| title | Stochastic analysis and applications to finance essays in honour of Jia-an Yan |
| title_auth | Stochastic analysis and applications to finance essays in honour of Jia-an Yan |
| title_exact_search | Stochastic analysis and applications to finance essays in honour of Jia-an Yan |
| title_full | Stochastic analysis and applications to finance essays in honour of Jia-an Yan ed. Tusheng Zhang ... |
| title_fullStr | Stochastic analysis and applications to finance essays in honour of Jia-an Yan ed. Tusheng Zhang ... |
| title_full_unstemmed | Stochastic analysis and applications to finance essays in honour of Jia-an Yan ed. Tusheng Zhang ... |
| title_short | Stochastic analysis and applications to finance |
| title_sort | stochastic analysis and applications to finance essays in honour of jia an yan |
| title_sub | essays in honour of Jia-an Yan |
| topic | Finanzmathematik (DE-588)4017195-4 gnd Stochastische Analysis (DE-588)4132272-1 gnd |
| topic_facet | Finanzmathematik Stochastische Analysis Festschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025272206&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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