Surveys in Stochastic Processes [[electronic resource] /] / Jochen Blath, Peter Imkeller, Sylvie Rœlly

• Pubblicazione: Zuerich, Switzerland, : European Mathematical Society Publishing House, 2011
• Descrizione fisica: 1 online resource (263 pages)
• Soggetto topico: Stochastics; Probability theory and stochastic processes
• Classificazione: 60-xx
• Persona (resp. second.): BlathJochen; ImkellerPeter; RœllySylvie
• Nota di contenuto: Optimal switching, systems of reflected BSDEs and systems of variational inequalities with inter-connected obstacles / Saïd Hamadène -- The COGARCH: a review, with news on option pricing and statistical inference / Claudia Klüppelberg, Ross Maller, Alexander Szimayer -- Some properties of quasi-stationary distributions for finite Markov chains / Servet Martínez, Jaime San Martín -- The parabolic Anderson model with heavy-tailed potential / Peter Mörters -- From exploration paths to mass excursions - variations on a theme of Ray and Knight / Etienne Pardoux, Anton Wakolbinger -- Gaussian approximation of functionals: Malliavin calculus and Stein's method / Gesine Reinert -- Merging and stability for time inhomogeneous finite Markov chains / Laurent Saloff-Coste, Jessica Zúñiga -- Some mathematical aspects of market impact modeling / Alexander Schied, Alla Slynko -- The self-avoiding walk: A brief survey / Gordon Slade -- $L^p$-independence of growth bounds of Feynman-Kac semigroups / Masayoshi Takeda -- Some recent progress on functional inequalities and applications / Feng-Yu Wang.
• Sommario/riassunto: The 33rd Bernoulli Society Conference on "Stochastic Processes and Their Applications" was held in Berlin from July 27 to July 31, 2009. It brought together more than 600 researchers from 49 countries, who communicated recent progress in the mathematical research related to stochastic processes, with applications ranging from biology to statistical mechanics, finance and climatology. The present book collects survey articles highlighting new trends and focal points in the area written by plenary speakers of the conference, all of them outstanding international experts. A particular aim of this collection is to inspire young scientists in setting up research goals within the wide scope of fields represented in this volume.
• Titolo autorizzato: Surveys in Stochastic Processes
• ISBN: 3-03719-572-X
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910151929003321
• Lo trovi qui: Univ. Federico II