Seminar on Stochastic Analysis, Random Fields and Applications VII

1. Front Matter

   Pages i-xvi

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2. Stochastic Analysis and Random Fields

   1. Front Matter

      Pages 1-1

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   2. Recent Advances Related to SPDEs with Fractional Noise

      • Raluca M. Balan

      Pages 3-22

   3. On Chaos Representation and Orthogonal Polynomials for the Doubly Stochastic Poisson Process

      • Giulia Di Nunno, Steffen Sjursen

      Pages 23-54

   4. General Upper and Lower Tail Estimates Using Malliavin Calculus and Stein’s Equations

      • Richard Eden, Frederi Viens

      Pages 55-84

   5. Uniqueness and Absolute Continuity for Semilinear SPDE’s

      • Benedetta Ferrario

      Pages 85-94

   6. Rate of Convergence of Wong–Zakai Approximations for Stochastic Partial Differential Equations

      • István Gyöngy, Pablo Raúl Stinga

      Pages 95-130

   7. Weak Approximations for SDE’s Driven by Lévy Processes

      • Arturo Kohatsu-Higa, Hoang-Long Ngo

      Pages 131-169

   8. Itô’s Formula for Banach-space-valued Jump Processes Driven by Poisson Random Measures

      • Vidyadhar Mandrekar, Barbara Rüdiger, Stefan Tappe

      Pages 171-186

   9. Well-posedness for a Class of Dissipative Stochastic Evolution Equations with Wiener and Poisson Noise

      • Carlo Marinelli

      Pages 187-196

   10. Localization of Relative Entropy in Bose–Einstein Condensation of Trapped Interacting Bosons

       • Laura M. Morato, Stefania Ugolini

       Pages 197-210

   11. Multi-dimensional Semicircular Limits on the Free Wigner Chaos

       • Ivan Nourdin, Giovanni Peccati, Roland Speicher

       Pages 211-221

   12. Malliavin Calculus for Stochastic Point Vortex and Lagrangian Models

       • Sivaguru S. Sritharan, Meng Xu

       Pages 223-233

   13. Two Remarks on the Wasserstein Dirichlet Form

       • Wilhelm Stannat

       Pages 235-255

   14. Erratum

       • Arturo Kohatsu-Higa, José Manuel Corcuera

       Pages 257-257

3. Stochastic Methods in Financial Models

   1. Front Matter

      Pages 259-259

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   2. Stochastic Modeling of Power Markets Using Stationary Processes

      • Fred Espen Benth, Heidar Eyjolfsson

      Pages 261-284

   3. Evaluating Hybrid Products: The Interplay Between Financial and Insurance Markets

      • Francesca Biagini

      Pages 285-304

   4. f-Divergence Minimal Equivalent Martingale Measures and Optimal Portfolios for Exponential Lévy Models with a Change-point

      • S. Cawston, L. Vostrikova

      Pages 305-336

   5. Optimal Investment-consumption for Partially Observed Jump-diffusions

      • Claudia Ceci

      Pages 337-361

This volume contains refereed research or review articles presented at the 7th Seminar on Stochastic Analysis, Random Fields and Applications which took place at the Centro Stefano Franscini (Monte Verità) in Ascona , Switzerland, in May 2011. The seminar focused mainly on: - stochastic (partial) differential equations, especially with jump processes, construction of solutions and approximations - Malliavin calculus and Stein methods, and other techniques in stochastic analysis, especially chaos representations and convergence, and applications to  models of interacting particle systems - stochastic methods in financial models, especially models for power markets or for risk analysis, empirical estimation and approximation, stochastic control and optimal pricing. The book will be a valuable resource for researchers in stochastic analysis and for professionals interested in stochastic methods in finance.​

• Malliavin calculus
• stochastic analysis
• stochastic differential equations
• partial differential equations

• Institut de Mathématiques (IMA) Chaire de Statistiques Appliquées (STAP), Ecole Polytechnique Fédérale de Lausanne Fac. Sciences de Base (FSB), Lausanne, Switzerland

  Robert C. Dalang

• Institut Elie Cartan, Université de Lorraine, Vandoeuvre-les-Nancy CX, France

  Marco Dozzi

• Unité de Mathématiques appliquées, ENSTA ParisTech, Palaiseau, France

  Francesco Russo

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