From Stochastic Calculus to Mathematical Finance The Shiryaev Festschrift /

Dedicated to the eminent Russian mathematician Albert Shiryaev on the occasion of his 70th birthday, the Festschrift is a collection of papers, including several surveys, written by his former students, co-authors and colleagues. These reflect the wide range of scientific interests of the teacher an...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor Corporativo: SpringerLink (Online service)
Otros Autores: Kabanov, Yu (Editor ), Liptser, R. (Editor ), Stoyanov, J. (Editor )
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2006.
Edición:1st ed. 2006.
Temas:
Probabilities.
System theory.
Control theory.
Probability Theory.
Systems Theory, Control .
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • On Numerical Approximation of Stochastic Burgers' Equation
  • Optimal Time to Invest under Tax Exemptions
  • A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales
  • Interplay between Distributional and Temporal Dependence. An Empirical Study with High-frequency Asset Returns
  • Asymptotic Methods for Stability Analysis of Markov Dynamical Systems with Fast Variables
  • Some Particular Problems of Martingale Theory
  • On the Absolute Continuity and Singularity of Measures on Filtered Spaces: Separating Times
  • Optimal Hedging with Basis Risk
  • Moderate Deviation Principle for Ergodic Markov Chain. Lipschitz Summands
  • Remarks on Risk Neutral and Risk Sensitive Portfolio Optimization
  • On Existence and Uniqueness of Reflected Solutions of Stochastic Equations Driven by Symmetric Stable Processes
  • A Note on Pricing, Duality and Symmetry for Two-Dimensional Lévy Markets
  • Enlargement of Filtration and Additional Information in Pricing Models: Bayesian Approach
  • A Minimax Result for f-Divergences
  • Impulse and Absolutely Continuous Ergodic Control of One-Dimensional Itô Diffusions
  • A Consumption-Investment Problem with Production Possibilities
  • Multiparameter Generalizations of the Dalang-Morton- Willinger Theorem
  • A Didactic Note on Affine Stochastic Volatility Models
  • Uniform Optimal Transmission of Gaussian Messages
  • A Note on the Brownian Motion
  • Continuous Time Volatility Modelling: COGARCH versus Ornstein-Uhlenbeck Models
  • Tail Distributions of Supremum and Quadratic Variation of Local Martingales
  • Stochastic Differential Equations: A Wiener Chaos Approach
  • A Martingale Equation of Exponential Type
  • On Local Martingale and its Supremum: Harmonic Functions and beyond
  • On the Fundamental Solution of the Kolmogorov-Shiryaev Equation
  • Explicit Solution to an Irreversible Investment Model with a Stochastic Production Capacity
  • Gittins Type Index Theorem for Randomly Evolving Graphs
  • On the Existence of Optimal Portfolios for the Utility Maximization Problem in Discrete Time Financial Market Models
  • The Optimal Stopping of a Markov Chain and Recursive Solution of Poisson and Bellman Equations
  • On Lower Bounds for Mixing Coefficients of Markov Diffusions.

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