Stochastic Analysis and Applications to Finance: Essays in Honour of Jia-an Yan

Tuseng Zhang and Xunyu Zhou

Publisher:

World Scientific

Publication Date:

2012

Number of Pages:

450

Format:

Hardcover

Series:

Interdisciplinary Mathematical Sciences 13

Price:

168.00

ISBN:

978-981-4383-57-8

Category:

Festschrift

MAA Review
Table of Contents

We do not plan to review this book.

Non-Linear Evolution Equations Driven by Rough Paths (Thomas Cass, Zhongmin Qian and Jan Tudor)
Optimal Stopping Times with Different Information Levels and with TimeUncertainty (Arijit Chakrabarty and Xin Guo)
Finite Horizon Optimal Investment and Consumption with CARA Utility and Proportional Transaction Costs (Yingshan Chen, Min Dai and Kun Zhao)
MUniform Integrability of Exponential Martingales and Spectral Boundsof Non-Local Feynman-Kac Semigroups (Zhen-Qing Chen)
Continuous-Time Mean-Variance Portfolio Selection with Finite Transactions (Xiangyu Cui, Jianjun Gao and Duan Li)
Quantifying Model Uncertainties in the Space of Probability Measures (J Duan, T Gao and G He)
A PDE Approach to Multivariate Risk Theory (Robert J Elliott, Tak Kuen Siu and Hailiang Yang)
Stochastic Analysis on Loop Groups (Shizan Fang)
Existence and Stability of Measure Solutions for BSDE with Generatorsof Quadratic Growth (Alexander Fromm, Peter Imkeller and Jianing Zhang)
Convex Capital Requirements for Large Portfolios (Hans Föllmer and Thomas Knispel)
The Mixed Equilibrium of Insider Trading in the Market with RationalExpected Price (Fuzhou Gong and Hong Liu)
Some Results on Backward Stochastic Differential Equations Driven byFractional Brownian Motions (Yaozhong Hu, Daniel Ocone and Jian Song)
Potential Theory of Subordinate Brownian Motions Revisited (Panki Kim, Renming Song and Zoran Vondraček)
Research on Social Causes of the Financial Crisis (Steven Kou)
Wick Formulas and Inequalities for the Quaternion Gaussian and β-Permanental Variables (Wenbo V Li and Ang Wei)
Further Study on Web Markov Skeleton Processes (Yuting Liu, Zhi-Ming Ma and Chuan Zhou)
MLE of Parameters in the Drifted Brownian Motion and Its Error (Lemee Nakamura and Weian Zheng)
Optimal Partial Information Control of SPDEs with Delay and Time-AdvancedBackward SPDEs (Bernt Øksendal, Agnès Sulem and Tusheng Zhang)
Simulation of Diversified Portfolios in Continuous Financial Markets (Eckhard Platen and Renata Rendek)
Coupling and Applications (Feng-Yu Wang)
SDEs and a Generalised Burgers Equation (Jiang-Lun Wu and Wei Yang)
Mean-Variance Hedging in the Discontinuous Case (Jianming Xia)