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Stochastic Analysis and Applications

The Abel Symposium 2005

  • Conference proceedings
  • © 2007

Overview

Editors:
  1. Fred Espen Benth

    1. Department of Mathematics, University of Oslo, Oslo, Norway

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  2. Giulia Nunno

    1. Department of Mathematics, University of Oslo, Oslo, Norway

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  3. Tom Lindstrøm

    1. Department of Mathematics, University of Oslo, Oslo, Norway

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  4. Bernt Øksendal

    1. Department of Mathematics, University of Oslo, Oslo, Norway

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  5. Tusheng Zhang

    1. Department of Mathematics, University of Manchester, Manchester, UK

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  • High-profile, high quality conference on stochastics
  • Includes supplementary material: sn.pub/extras

Part of the book series: Abel Symposia (ABEL, volume 2)

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Table of contents (30 papers)

  1. Front Matter

    Pages I-XI
    Download chapter PDF

  2. Memoirs of My Research on Stochastic Analysis

    • Kiyosi Itô
    Pages 1-6

  3. Itô Calculus and Quantum White Noise Calculus

    • Luigi Accardi, Andreas Boukas
    Pages 7-51

  4. Homogenization of Diffusions on the Lattice Zd with Periodic Drift Coefficients, Applying a Logarithmic Sobolev Inequality or a Weak Poincaré Inequality

    • Sergio Albeverio, M. Simonetta Bernabei, Michael Röckner, Minoru W. Yoshida
    Pages 53-72

  5. Theory and Applications of Infinite Dimensional Oscillatory Integrals

    • Sergio Albeverio, Sergio Albeverio
    Pages 73-91

  6. Ambit Processes; with Applications to Turbulence and Tumour Growth

    • Ole E. Barndorff-Nielsen, Jürgen Schmiegel
    Pages 93-124

  7. A Stochastic Control Approach to a Robust Utility Maximization Problem

    • Giuliana Bordigoni, Anis Matoussi, Martin Schweizer
    Pages 125-151

  8. Extending Markov Processes in Weak Duality by Poisson Point Processes of Excursions

    • Zhen-Qing Chen, Masatoshi Fukushima, Jiangang Ying
    Pages 153-196

  9. Hedging with Options in Models with Jumps

    • Rama Cont, Peter Tankov, Ekaterina Voltchkova
    Pages 197-217

  10. Power Variation Analysis of Some Integral Long-Memory Processes

    • José Manuel Corcuera
    Pages 219-234

  11. Kolmogorov Equations for Stochastic PDE's with Multiplicative Noise

    • Giuseppe Da Prato
    Pages 235-263

  12. Stochastic Integrals and Adjoint Derivatives

    • Giulia Di Nunno, Yuri A. Rozanov
    Pages 265-307

  13. An Application of Probability to Nonlinear Analysis

    • Eugene B. Dynkin
    Pages 309-325

  14. The Space of Stochastic Differential Equations

    • K. David Elworthy
    Pages 327-337

  15. Extremes of supOU Processes

    • Vicky Fasen, Claudia Klüppelberg
    Pages 339-359

  16. Gaussian Bridges

    • Dario Gasbarra, Tommi Sottinen, Esko Valkeila
    Pages 361-382

  17. Some of the Recent Topics on Stochastic Analysis

    • Takeyuki Hida
    Pages 383-397

  18. Differential Equations Driven by Hölder Continuous Functions of Order Greater than 1/2

    • Yaozhong Hu, David Nualart
    Pages 399-413

  19. On Asymptotics of Banach Space-valued Itô Functionals of Brownian Rough Paths

    • Yuzurui Inahama, Hiroshi Kawab
    Pages 415-434

  20. Continuous-Time Markowitz's Problems in an Incomplete Market, with No-Shorting Portfolios

    • Hanqing Jin, Xun Yu Zhou
    Pages 435-459
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Keywords

About this book

Kiyosi Ito, the founder of stochastic calculus, is one of the few central figures of the twentieth century mathematics who reshaped the mathematical world. Today stochastic calculus is a central research field with applications in several other mathematical disciplines, for example physics, engineering, biology, economics and finance.

The Abel Symposium 2005 was organized as a tribute to the work of Kiyosi Ito on the occasion of his 90th birthday. Distinguished researchers from all over the world were invited to present the newest developments within the exciting and fast growing field of stochastic analysis. The present volume combines both papers from the invited speakers and contributions by the presenting lecturers.

A special feature is the Memoirs that Kiyoshi Ito wrote for this occasion. These are valuable pages for both young and established researchers in the field.

Editors and Affiliations

  • Department of Mathematics, University of Oslo, Oslo, Norway

    Fred Espen Benth, Giulia Nunno, Tom Lindstrøm, Bernt Øksendal

  • Department of Mathematics, University of Manchester, Manchester, UK

    Tusheng Zhang

About the editors

Information on the volume editors:

All the Editors are working in stochastic analysis. Bernt Øksendal received the Nansen Prize in 1996 and was elected member of the Norwegian Academy of Science and Letters in 1996.

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