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Recent Developments in Applied Probability and Statistics

Dedicated to the Memory of Jürgen Lehn

  • Book
  • © 2010

Overview

Editors:
  1. Luc Devroye

    1. , School of Computer Science, McGill University, Montreal, Canada

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  2. Bülent Karasözen

    1. , Mathematics & Institute of Applied Mathe, Middle East Technical University, Ankara, Turkey

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  3. Michael Kohler

    1. FB Mathematik, TU Darmstadt, Darmstadt, Germany

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  4. Ralf Korn

    1. , Mathematics, University of Kaiserslautern, Kaiserslautern, Germany

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  • Presents surveys on recent developments in applied probability and statistics
  • Topics such as nonparametric regression and density estimation, option pricing, probabilistic methods for multivariate interpolation, robust graphical modelling and stochastic differential equations
  • Excellent overview of recent developments in applied probability and statistics
  • Includes supplementary material: sn.pub/extras

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Table of contents (11 chapters)

  1. Front Matter

    Pages I-XII
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  2. On Exact Simulation Algorithms for Some Distributions Related to Brownian Motion and Brownian Meanders

    • Luc Devroye
    Pages 1-35

  3. A Review on Regression-based Monte Carlo Methods for Pricing American Options

    • Michael Kohler
    Pages 37-58

  4. Binomial Trees in Option Pricing—History, Practical Applications and Recent Developments

    • Ralf Korn, Stefanie Müller
    Pages 59-77

  5. Uncertainty in Gaussian Process Interpolation

    • Hilke Kracker, Björn Bornkamp, Sonja Kuhnt, Ursula Gather, Katja Ickstadt
    Pages 79-102

  6. On the Inversive Pseudorandom Number Generator

    • Wilfried Meidl, Alev Topuzoğlu
    Pages 103-125

  7. Strong and Weak Approximation Methods for Stochastic Differential Equations—Some Recent Developments

    • Andreas Rößler
    Pages 127-153

  8. On Robust Gaussian Graphical Modeling

    • Daniel Vogel, Roland Fried
    Pages 155-182

  9. Strong Laws of Large Numbers and Nonparametric Estimation

    • Harro Walk
    Pages 183-214

  10. Institute of Applied Mathematics at Middle East Technical University, Ankara (Panel Discussion Contribution)

    • Bülent Karasözen
    Pages 215-221

  11. Financial Mathematics: Between Stochastic Differential Equations and Financial Crisis (Panel Discussion Contribution)

    • Ralf Korn
    Pages 223-227

  12. Computational Science and Engineering Education Programs in Germany (Panel Discussion Contribution)

    • Michael Schäfer
    Pages 229-235
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About this book

This book is devoted to Professor Jürgen Lehn, who passed away on September 29, 2008, at the age of 67. It contains invited papers that were presented at the Wo- shop on Recent Developments in Applied Probability and Statistics Dedicated to the Memory of Professor Jürgen Lehn, Middle East Technical University (METU), Ankara, April 23–24, 2009, which was jointly organized by the Technische Univ- sität Darmstadt (TUD) and METU. The papers present surveys on recent devel- ments in the area of applied probability and statistics. In addition, papers from the Panel Discussion: Impact of Mathematics in Science, Technology and Economics are included. Jürgen Lehn was born on the 28th of April, 1941 in Karlsruhe. From 1961 to 1968 he studied mathematics in Freiburg and Karlsruhe, and obtained a Diploma in Mathematics from the University of Karlsruhe in 1968. He obtained his Ph.D. at the University of Regensburg in 1972, and his Habilitation at the University of Karlsruhe in 1978. Later in 1978, he became a C3 level professor of Mathematical Statistics at the University of Marburg. In 1980 he was promoted to a C4 level professorship in mathematics at the TUD where he was a researcher until his death.

Editors and Affiliations

  • , School of Computer Science, McGill University, Montreal, Canada

    Luc Devroye

  • , Mathematics & Institute of Applied Mathe, Middle East Technical University, Ankara, Turkey

    Bülent Karasözen

  • FB Mathematik, TU Darmstadt, Darmstadt, Germany

    Michael Kohler

  • , Mathematics, University of Kaiserslautern, Kaiserslautern, Germany

    Ralf Korn

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