Stochastic Analysis 2010

Edited by Dan Crisan ()

in Springer Books from Springer

Date: 2011
ISBN: 978-3-642-15358-7
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Chapters in this book:

Introduction

Dan Crisan

Integration by Parts Formula with Respect to Jump Times for StochasticDifferential Equations

Vlad Bally and Emmanuelle Clément

A Laplace Principle for a Stochastic Wave Equation in Spatial Dimension Three

Víctor Ortiz-López and Marta Sanz-Solé

Intertwinned Diffusions by Examples

Xue-Mei Li

Efficient and Practical Implementations of Cubature on Wiener Space

Lajos Gergely Gyurkó and Terry J. Lyons

Equivalence of Stochastic Equations and Martingale Problems

Thomas G. Kurtz

Accelerated Numerical Schemes for PDEs and SPDEs

István Gyöngy and Nicolai Krylov

Coarse-Grained Modeling of Multiscale Diffusions: The p-Variation Estimates

Anastasia Papavasiliou

Numerical Solution of the Dirichlet Problem for Linear Parabolic SPDEs Based on Averaging over Characteristics

Vasile N. Stanciulescu and Michael V. Tretyakov

Individual Path Uniqueness of Solutions of Stochastic Differential Equations

Alexander M. Davie

Stochastic Integrals and SDE Driven by Nonlinear Lévy Noise

Vassili N. Kolokoltsov

Discrete Algorithms for Multivariate Financial Calculus

Radu Tunaru

Credit Risk, Market Sentiment and Randomly-Timed Default

Dorje C. Brody, Lane P. Hughston and Andrea Macrina

Continuity of Mutual Entropy in the Limiting Signal-To-Noise Ratio Regimes

Mark Kelbert and Yuri Suhov

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DOI: 10.1007/978-3-642-15358-7

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