From stochastic calculus to mathematical finance : the Shiryaev Festschrift
Dedicated to the eminent Russian mathematician Albert Shiryaev on the occasion of his 70th birthday, the Festschrift is a collection of papers, including several surveys, written by his former students, co-authors and colleagues. These reflect the wide range of scientific interests of the teacher an...
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| Autori principali: | , , |
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| Ente Autore: | |
| Natura: | Livre numérique |
| Lingua: | Anglais |
| Pubblicazione: |
Berlin, Heidelberg :
Springer Berlin Heidelberg : Springer e-books
[20..].
Cham : Springer Nature |
| Soggetti: | |
| Accesso online: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Nota: |
Description d'après consultation du 28 mars 2011 Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Variante du titre: | Mélanges :, Shiryaev |
| Edition sous un autre format: | • From stochastic calculus to mathematical finance, the Shiryaev Festschrift, Yu. Kabanov, R. Lipster, J. Stoyanov, 2006, Berlin, Springer, 1 vol. (XXXVII-633 p.), 3-540-30782-6 |
Sommario:
- On Numerical Approximation of Stochastic Burgers' Equation Optimal Time to Invest under Tax Exemptions A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales Interplay between Distributional and Temporal Dependence. An Empirical Study with High-frequency Asset Returns Asymptotic Methods for Stability Analysis of Markov Dynamical Systems with Fast Variables Some Particular Problems of Martingale Theory On the Absolute Continuity and Singularity of Measures on Filtered Spaces: Separating Times Optimal Hedging with Basis Risk Moderate Deviation Principle for Ergodic Markov Chain. Lipschitz Summands Remarks on Risk Neutral and Risk Sensitive Portfolio Optimization On Existence and Uniqueness of Reflected Solutions of Stochastic Equations Driven by Symmetric Stable Processes A Note on Pricing, Duality and Symmetry for Two-Dimensional Lévy Markets Enlargement of Filtration and Additional Information in Pricing Models: Bayesian Approach A Minimax Result for f-Divergences Impulse and Absolutely Continuous Ergodic Control of One-Dimensional Itô Diffusions A Consumption Investment Problem with Production Possibilities Multiparameter Generalizations of the Dalang Morton Willinger Theorem A Didactic Note on Affine Stochastic Volatility Models Uniform Optimal Transmission of Gaussian Messages A Note on the Brownian Motion Continuous Time Volatility Modelling: COGARCH versus Ornstein Uhlenbeck Models Tail Distributions of Supremum and Quadratic Variation of Local Martingales Stochastic Differential Equations: A Wiener Chaos Approach A Martingale Equation of Exponential Type On Local Martingale and its Supremum: Harmonic Functions and beyond On the Fundamental Solution of the Kolmogorov Shiryaev Equation Explicit Solution to an Irreversible Investment Model with a Stochastic Production Capacity Gittins Type Index Theorem for Randomly Evolving Graphs On the Existence of Optimal Portfolios for the Utility Maximization Problem in Discrete Time Financial Market Models The Optimal Stopping of a Markov Chain and Recursive Solution of Poisson and Bellman Equations On Lower Bounds for Mixing Coefficients of Markov Diffusions