**Contemporary Mathematics**

Volume: 336;
2003;
272 pp;
Softcover

MSC: Primary 60; 91;

**Print ISBN: 978-0-8218-3466-4
Product Code: CONM/336**

List Price: $85.00

AMS Member Price: $68.00

MAA Member Price: $76.50

**Electronic ISBN: 978-0-8218-7926-9
Product Code: CONM/336.E**

List Price: $80.00

AMS Member Price: $64.00

MAA Member Price: $72.00

# Stochastic Models

Share this page *Edited by *
*José M. González-Barrios; Jorge A. León; Ana Meda*

The volume includes lecture notes and research papers by participants
of the Seventh Symposium on Probability and Stochastic Processes held in Mexico
City. The lecture notes introduce recent advances in stochastic calculus with
respect to fractional Brownian motion, principles of large deviations and of
minimum entropy concerning equilibrium prices in random economic systems, and
give a complete and thorough survey of credit risk theory.

The research papers cover areas such as financial markets, Gaussian
processes, stochastic differential equations, stochastic integration, quantum
dynamical semigroups, self-intersection local times, etc.

Readers should have a basic background in probability theory, stochastic
integration, and stochastic differential equations. The book is suitable for
graduate students and research mathematicians interested in probability,
stochastic processes, and risk theory.

This book is published in cooperation with Sociedad Matemática Mexicana

#### Readership

Graduate students and research mathematicians interested in probability, stochastic processes, and risk theory.

# Table of Contents

## Stochastic Models

- Contents v6 free
- Preface vii8 free
- Lecture Notes 110 free
- Research Papers 117126
- Optimal Investment in Incomplete Financial Markets with Stochastic Volatility 119128
- Price Calculation for Power Exponential Jump–Diffusion Models—A Hermite–Series Approach 137146
- Conditions for Nonconservativity in Quantum Dynamical Semigroups 161170
- Some Notes on a Dependency Measure 171180
- An Example of an Averaged Markov Decision Process without Stable Policies 181190
- Closeness Estimates for Sums of Independent Random Variables 185194
- An Example of Infinite Dimensional Quasi–Helix 195204
- A Non–homogeneous Wave Equation Driven by a Poisson Process 203212
- Existence of Self-Intersection Local Time of the Multitype Dawson–Watanabe Superprocess 213222
- Lévy Processes in Banach Spaces: Distributional Properties and Subordination 225234
- Phase Space Path Integral Representation for the Solution of a Stochastic Schrödinger Equation 237246
- A Note on Covariance Characterization of some Generalized Gaussian Random Fields 253262
- On Two-Parameter Stieltjes Integrals for Functions in Besov-Liouville Spaces and Stochastic Integrals 259268