Seminar on Stochastic Analysis, Random Fields and Applications III

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InhaltsverzeichnisLight, atoms, and singularities.How random are random walks ?.Classical solutions for SPDEs with Dirichlet boundary conditions.Credit Risk: The structural approach revisited.Classical solutions for Kolmogorov equations in Hilbert spaces.Monotone gradient systems in L2spaces.Catalytic and mutually catalytic super-brownian motions.Sticky particles, scalar conservation law and pressureless gas equations.Affine short rate models.A filtered EM algorithm for parameter estimation in linear filtering.Instability of a quantum particle induced by a randomly varying spring coefficient.On the superreplication approach for European interest rates derivatives.A complete market model with Poisson and Brownian components.Stochastic calculus and processes in non-commutative space-time.A measure-valued process related to the parabolic Anderson model.Homogenization of PDEs with non linear boundary condition.A Bayesian adaptative control approach to risk management in a binomial model.Hölder continuity for the stochastic heat equation with spatially correlated noise.Regularity conditions for parabolic SPDEs on Lie groups.Forward integrals and stochastic differential equations.