Surveys in Stochastic Processes
Jochen Blath, Peter Imkeller, Sylvie Rœlly
The 33rd Bernoulli Society Conference on Stochastic Processes and Their Applications was held in Berlin from July 27 to July 31, 2009. It brought together more than 600 researchers from 49 countries to discuss recent progress in the mathematical research related to stochastic processes, with applications ranging from biology to statistical mechanics, finance and climatology. This book collects survey articles highlighting new trends and focal points in the area written by plenary speakers of the conference, all of them outstanding international experts. A particular aim of this collection is to inspire young scientists to pursue research goals in the wide range of fields represented in this volume.
|
Contents
|
a review with news on option pricing and statistical inference
|
29 |
|
Some properties of quasistationary distributions for finite Markov chains
|
59 |
|
From exploration paths to mass excursions variations on a theme of
|
87 |
|
Malliavin calculus and Steins method
|
107 |
|
Merging and stability for time inhomogeneous finite Markov chains
|
127 |
|
Some mathematical aspects of market impact modeling
|
153 |
|
A brief survey
|
181 |
|
by Masayoshi Takeda
|
201 |
|
Some recent progress on functional inequalities and applications
|
227 |
|
List of Contributors 247
|
|
Common terms and phrases
Appl assume asymptotic Berlin bounded Brownian motion BSDEs càdlàg COGARCH constant continuous convergence defined denote deterministic Dirichlet form discrete distribution equation ergodicity example excursion measure exists exponential Feller branching diffusion Feynman-Kac finite Galton-Watson process GARCH Gaussian given Hence Heston model Implied Volatility implies inequality inhomogeneous irreducible jump Lévy measure Lévy process limit theorem Maller Malliavin calculus market impact model Markov chains Markov kernels Markov process martingale Math merging normal approximation optimal strategy parameter Poincaré inequality Poisson potential price process Probab probability measure proof Proposition random variables random walk Ray-Knight relative-sup resilience function result satisfies Schied Section self-avoiding walk semigroups sequence solution space Stein's method Stochastic Process switching problem symmetric theory total variation trading tree variance volatility