Softcover ISBN:  9780821834664 
Product Code:  CONM/336 
List Price:  $85.00 
MAA Member Price:  $76.50 
AMS Member Price:  $68.00 
Electronic ISBN:  9780821879269 
Product Code:  CONM/336.E 
List Price:  $80.00 
MAA Member Price:  $72.00 
AMS Member Price:  $64.00 

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, selfintersection 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.

Table of Contents

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 CastañedaLeyva and Daniel HernándezHernández  Optimal investment in incomplete financial markets with stochastic volatility [ MR 2037159 ]

Manuel Galea, Jin Ma and Soledad Torres  Price calculation for power exponential jumpdiffusion models—a Hermiteseries approach [ MR 2037160 ]

Julio C. García and Roberto Quezada  Conditions for nonconservativity in quantum dynamical semigroups [ MR 2037161 ]

José M. GonzálezBarrios  Some notes on a dependency measure [ MR 2037162 ]

Juan GonzálezHernández  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 quasihelix [ MR 2037165 ]

Jorge A. León and Mònica Sarrà  A nonhomogeneous wave equation driven by a Poisson process [ MR 2037166 ]

José Alfredo LópezMimbela and José Villa  Existence of selfintersection local time of the multitype DawsonWatanabe superprocess [ MR 2037167 ]

Víctor PérezAbreu and Alfonso RochaArteaga  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 twoparameter Stieltjes integrals for functions in BesovLiouville 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, selfintersection 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 CastañedaLeyva and Daniel HernándezHernández  Optimal investment in incomplete financial markets with stochastic volatility [ MR 2037159 ]

Manuel Galea, Jin Ma and Soledad Torres  Price calculation for power exponential jumpdiffusion models—a Hermiteseries approach [ MR 2037160 ]

Julio C. García and Roberto Quezada  Conditions for nonconservativity in quantum dynamical semigroups [ MR 2037161 ]

José M. GonzálezBarrios  Some notes on a dependency measure [ MR 2037162 ]

Juan GonzálezHernández  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 quasihelix [ MR 2037165 ]

Jorge A. León and Mònica Sarrà  A nonhomogeneous wave equation driven by a Poisson process [ MR 2037166 ]

José Alfredo LópezMimbela and José Villa  Existence of selfintersection local time of the multitype DawsonWatanabe superprocess [ MR 2037167 ]

Víctor PérezAbreu and Alfonso RochaArteaga  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 twoparameter Stieltjes integrals for functions in BesovLiouville spaces and stochastic integrals [ MR 2037171 ]