Jeff Englebert (Author)

• Generalized Ito formula and derivation of Bellman's equation; robustness of hedging strategies for European options; on the laws of orthogonal projectors on eigenspaces of Lyapunov exponents of linear stochastic differential equations; generalized second order partial differential operators in analysis and probability; on the limit of stochastic integrals of differential forms; asymptotic properties of stochastic equations with boundary and pointwise noise; the Follmer-Schweizer decomposition; the stochastic maximum principle; a brief survey and an application; Sobolov spaces of functions on an infinite-dimensional domain; diffusion in a medium with semi-transparent diaphragms; anticipative Stratonovich equation via Zvonkin method; on continuous-time models of term structure of interest rates; pricing options by dynamic programming; list of participants; list of talks.