From Stochastic Calculus to Mathematical Finance (eBook)

The Shiryaev Festschrift

Yu. Kabanov, R. Liptser, J. Stoyanov (Herausgeber)

eBook Download: PDF

2007
XXXVII, 633 Seiten
Springer Berlin (Verlag)
978-3-540-30788-4 (ISBN)

Infos

Dedicated to the Russian mathematician Albert Shiryaev on his 70th birthday, this is a collection of papers written by his former students, co-authors and colleagues. The book represents the modern state of art of a quickly maturing theory and will be an essential source and reading for researchers in this area. Diversity of topics and comprehensive style of the papers make the book attractive for PhD students and young researchers.

Inhalt

Preface 6
Contents 10
Albert SHIRYAEV 14
Publications of A.N. Shiryaev 20
On Numerical Approximation of Stochastic Burgers’ Equation 37
Optimal Time to Invest under Tax Exemptions 52
A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales 68
Interplay between Distributional and Temporal Dependence. An Empirical Study with High-frequency Asset Returns 104
Asymptotic Methods for Stability Analysis of Markov Dynamical Systems with Fast Variables 126
Some Particular Problems of Martingale Theory 144
On the Absolute Continuity and Singularity of Measures on Filtered Spaces: Separating Times 160
Optimal Hedging with Basis Risk 204
Moderate Deviation Principle for Ergodic Markov Chain. Lipschitz Summands 223
Remarks on Risk Neutral and Risk Sensitive Portfolio Optimization 244
On Existence and Uniqueness of Reflected Solutions of Stochastic Equations Driven by Symmetric Stable Processes 260
A Note on Pricing, Duality and Symmetry for Two-Dimensional Levy Markets 282
Enlargement of Filtration and Additional Information in Pricing Models: Bayesian Approach 290
A Minimax Result for f-Divergences 319
Impulse and Absolutely Continuous Ergodic Control of One-Dimensional Itˆo Diffusions 327
A Consumption–Investment Problem with Production Possibilities 347
Multiparameter Generalizations of the Dalang–Morton–Willinger Theorem 365
A Didactic Note on Affine Stochastic Volatility Models 374
Uniform Optimal Transmission of Gaussian Messages 400
A Note on the Brownian Motion 415
Continuous Time Volatility Modelling: COGARCH versus Ornstein–Uhlenbeck Models 423
Tail Distributions of Supremum and Quadratic Variation of Local Martingales 450
Stochastic Differential Equations: A Wiener Chaos Approach 462
A Martingale Equation of Exponential Type 536
On Local Martingale and its Supremum: Harmonic Functions and beyond. 546
On the Fundamental Solution of the Kolmogorov–Shiryaev Equation 563
Explicit Solution to an Irreversible Investment Model with a Stochastic Production Capacity 575
Gittins Type Index Theorem for Randomly Evolving Graphs 594
On the Existence of Optimal Portfolios for the Utility Maximization Problem in Discrete Time Financial Market Models 616
The Optimal Stopping of a Markov Chain and Recursive Solution of Poisson and Bellman Equations 636
On Lower Bounds for Mixing Coefficients of Markov Diffusions 649

Produkt-Details

• Erscheint lt. Verlag: 3.4.2007
• Zusatzinfo: XXXVII, 633 p.
• Verlagsort: Berlin
• Sprache: englisch
• Themenwelt: Mathematik / Informatik ► Mathematik ► Statistik
• Themenwelt: Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik
• Themenwelt: Technik
• Schlagworte: disorder problem • Mathematical economics • mathematical finance • optimal control • semimartingales • Stochastic Calculus • stochastic equations
• ISBN-10: 3-540-30788-5 / 3540307885
• ISBN-13: 978-3-540-30788-4 / 9783540307884