| Softcover ISBN: | 978-0-8218-3466-4 |
| Product Code: | CONM/336 |
| List Price: | $85.00 |
| MAA Member Price: | $76.50 |
| AMS Member Price: | $68.00 |
| Electronic ISBN: | 978-0-8218-7926-9 |
| Product Code: | CONM/336.E |
| List Price: | $80.00 |
| MAA Member Price: | $72.00 |
| AMS Member Price: | $64.00 |
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Book DetailsContemporary MathematicsVolume: 336; 2003; 272 ppMSC: Primary 60; 91;
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.ReadershipGraduate students and research mathematicians interested in probability, stochastic processes, and risk theory.
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Table of Contents
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Lecture Notes [ MR 2037155 ]
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David Nualart - Stochastic integration with respect to fractional Brownian motion and applications [ MR 2037156 ]
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Esa Nummelin - Entropy and economic equilibrium [ MR 2037157 ]
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Thorsten Schmidt and Winfried Stute - Credit risk—a survey [ MR 2037158 ]
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Research Papers [ MR 2037155 ]
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Netzahualcóyotl Castañeda-Leyva and Daniel Hernández-Hernández - Optimal investment in incomplete financial markets with stochastic volatility [ MR 2037159 ]
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Manuel Galea, Jin Ma and Soledad Torres - Price calculation for power exponential jump-diffusion models—a Hermite-series approach [ MR 2037160 ]
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Julio C. García and Roberto Quezada - Conditions for nonconservativity in quantum dynamical semigroups [ MR 2037161 ]
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José M. González-Barrios - Some notes on a dependency measure [ MR 2037162 ]
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Juan González-Hernández - An example of an averaged Markov decision process without stable policies [ MR 2037163 ]
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Evgueni Gordienko, Mario Mendieta and Juan Ruiz de Chávez - Closeness estimates for sums of independent random variables [ MR 2037164 ]
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Christian Houdré and José Villa - An example of infinite dimensional quasi-helix [ MR 2037165 ]
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Jorge A. León and Mònica Sarrà - A non-homogeneous wave equation driven by a Poisson process [ MR 2037166 ]
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José Alfredo López-Mimbela and José Villa - Existence of self-intersection local time of the multitype Dawson-Watanabe superprocess [ MR 2037167 ]
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Víctor Pérez-Abreu and Alfonso Rocha-Arteaga - Lévy processes in Banach spaces: distributional properties and subordination [ MR 2037168 ]
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Luis A. Rincón - Phase space path integral representation for the solution of a stochastic Schrödinger equation [ MR 2037169 ]
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Anna Talarczyk - A note on covariance characterization of some generalized Gaussian random fields [ MR 2037170 ]
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Constantin Tudor - On two-parameter Stieltjes integrals for functions in Besov-Liouville spaces and stochastic integrals [ MR 2037171 ]
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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.
Graduate students and research mathematicians interested in probability, stochastic processes, and risk theory.
-
Lecture Notes [ MR 2037155 ]
-
David Nualart - Stochastic integration with respect to fractional Brownian motion and applications [ MR 2037156 ]
-
Esa Nummelin - Entropy and economic equilibrium [ MR 2037157 ]
-
Thorsten Schmidt and Winfried Stute - Credit risk—a survey [ MR 2037158 ]
-
Research Papers [ MR 2037155 ]
-
Netzahualcóyotl Castañeda-Leyva and Daniel Hernández-Hernández - Optimal investment in incomplete financial markets with stochastic volatility [ MR 2037159 ]
-
Manuel Galea, Jin Ma and Soledad Torres - Price calculation for power exponential jump-diffusion models—a Hermite-series approach [ MR 2037160 ]
-
Julio C. García and Roberto Quezada - Conditions for nonconservativity in quantum dynamical semigroups [ MR 2037161 ]
-
José M. González-Barrios - Some notes on a dependency measure [ MR 2037162 ]
-
Juan González-Hernández - An example of an averaged Markov decision process without stable policies [ MR 2037163 ]
-
Evgueni Gordienko, Mario Mendieta and Juan Ruiz de Chávez - Closeness estimates for sums of independent random variables [ MR 2037164 ]
-
Christian Houdré and José Villa - An example of infinite dimensional quasi-helix [ MR 2037165 ]
-
Jorge A. León and Mònica Sarrà - A non-homogeneous wave equation driven by a Poisson process [ MR 2037166 ]
-
José Alfredo López-Mimbela and José Villa - Existence of self-intersection local time of the multitype Dawson-Watanabe superprocess [ MR 2037167 ]
-
Víctor Pérez-Abreu and Alfonso Rocha-Arteaga - Lévy processes in Banach spaces: distributional properties and subordination [ MR 2037168 ]
-
Luis A. Rincón - Phase space path integral representation for the solution of a stochastic Schrödinger equation [ MR 2037169 ]
-
Anna Talarczyk - A note on covariance characterization of some generalized Gaussian random fields [ MR 2037170 ]
-
Constantin Tudor - On two-parameter Stieltjes integrals for functions in Besov-Liouville spaces and stochastic integrals [ MR 2037171 ]
