Frontiers in Stochastic Analysis–BSDEs, SPDEs and their Applications

Edinburgh, July 2017 Selected, Revised and Extended Contributions

AvSamuel N. Cohen,István Gyöngy

Häftad, Engelska, 2020

Del 289 i serien Springer Proceedings in Mathematics & Statistics

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Beskrivning

This collection of selected, revised and extended contributions resulted from a Workshop on BSDEs, SPDEs and their Applications that took place in Edinburgh, Scotland, July 2017 and included the 8th World Symposium on BSDEs.

Produktinformation

Utgivningsdatum:2020-09-02
Mått:155 x 235 x 16 mm
Vikt:541 g
Format:Häftad
Språk:Engelska
Serie:Springer Proceedings in Mathematics & Statistics
Antal sidor:300
Förlag:Springer Nature Switzerland AG
ISBN:9783030222871

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Innehållsförteckning

Preface.- Dirk Becherer, Martin Büttner, Klebert Kentia, On the monotone stability approach to BSDEs with jumps: Extensions, concrete criteria and examples.- Mireille Bossy, Jean-Franҫois Jabir, On the wellposedness of some McKean models with moderated or singular diffusion coefficient.- Philippe Briand, Adrien Richou, On the uniqueness of solutions to quadratic BSDEs with non-convex generators.- Antonella Calzolari, Barbara Torti, An example of martingale representation in progressive enlargement by an accessible random time.- Samuel N. Cohen, Martin Tegner, European option pricing with stochastic volatility models under parameter uncertainty.- Nicole El Karoui, Caroline Hillairet, Mohamed Mrad, Construction of an aggregate consistent utility, without Pareto optimality. Application to Long-Term yield curve modeling.- Monique Jeanblanc, Dongli Wu, BSDEs and enlargement of filtration.- Gonҫcalo dos Reis, Greig Smith, An unbiased Itô type stochastic representation for transport PDEs: A toy example.- Mauro Rosestolato, Path-dependent SDEs in Hilbert spaces.