This volume is a collection of solicited and refereed articles
from distinguished researchers across the field of stochastic
analysis and its application to finance. The articles represent new
directions and newest developments in this exciting and fast
growing area. The covered topics range from Markov processes,
backward stochastic differential equations, stochastic partial
differential equations, stochastic control, potential theory,
functional inequalities, optimal stopping, portfolio selection, to
risk measure and risk theory.
It will be a very useful book for young researchers who want to
learn about the research directions in the area, as well as
experienced researchers who want to know about the latest
developments in the area of stochastic analysis and mathematical
Editorial Foreword (58 KB)
Chapter 1: Non-Linear Evolution Equations Driven by Rough Paths
Contents: Non-Linear Evolution Equations Driven by Rough Paths
"(Thomas Cass, Zhongmin Qian and Jan Tudor)"Optimal Stopping Times
with Different Information Levels and with Time Uncertainty
"(Arijit Chakrabarty and Xin Guo)"Finite Horizon Optimal Investment
and Consumption with CARA Utility and Proportional Transaction
Costs "(Yingshan Chen, Min Dai and Kun Zhao)"MUniform Integrability
of Exponential Martingales and Spectral Bounds of Non-Local
Feynman-Kac Semigroups "(Zhen-Qing Chen)"Continuous-Time
Mean-Variance Portfolio Selection with Finite Transactions
"(Xiangyu Cui, Jianjun Gao and Duan Li)"Quantifying Model
Uncertainties in the Space of Probability Measures "(J Duan, T Gao
and G He)"A PDE Approach to Multivariate Risk Theory "(Robert J
Elliott, Tak Kuen Siu and Hailiang Yang)"Stochastic Analysis on
Loop Groups "(Shizan Fang)"Existence and Stability of Measure
Solutions for BSDE with Generators of Quadratic Growth "(Alexander
Fromm, Peter Imkeller and Jianing Zhang)"Convex Capital
Requirements for Large Portfolios "(Hans Follmer and Thomas
Knispel)"The Mixed Equilibrium of Insider Trading in the Market
with Rational Expected Price "(Fuzhou Gong and Hong Liu)"Some
Results on Backward Stochastic Differential Equations Driven by
Fractional Brownian Motions "(Yaozhong Hu, Daniel Ocone and Jian
Song)"Potential Theory of Subordinate Brownian Motions Revisited
"(Panki Kim, Renming Song and Zoran Vondraček)"Research on Social
Causes of the Financial Crisis "(Steven Kou)"Wick Formulas and
Inequalities for the Quaternion Gaussian and β-Permanental
Variables "(Wenbo V Li and Ang Wei)"Further Study on Web Markov
Skeleton Processes "(Yuting Liu, Zhi-Ming Ma and Chuan Zhou)"MLE of
Parameters in the Drifted Brownian Motion and Its Error "(Lemee
Nakamura and Weian Zheng)"Optimal Partial Information Control of
SPDEs with Delay and Time-Advanced Backward SPDEs "(Bernt Oksendal,
Agnes Sulem and Tusheng Zhang)"Simulation of Diversified Portfolios
in Continuous Financial Markets "(Eckhard Platen and Renata
Rendek)"Coupling and Applications "(Feng-Yu Wang)"SDEs and a
Generalised Burgers Equation "(Jiang-Lun Wu and Wei
Yang)"Mean-Variance Hedging in the Discontinuous Case "(Jianming
Readership: Graduates and researchers in stochatic analysis and
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