: Yuri Kabanov, Robert Liptser, Jordan Stoyanov
: Yu. Kabanov, R. Liptser, J. Stoyanov
: From Stochastic Calculus to Mathematical Finance The Shiryaev Festschrift
: Springer-Verlag
: 9783540307884
: 1
: CHF 48.30
:
: Wahrscheinlichkeitstheorie, Stochastik, Mathematische Statistik
: English
: 633
: Wasserzeichen/DRM
: PC/MAC/eReader/Tablet
: PDF

Dedicated to the Russian mathematician Albert Shiryaev on his 70th birthday, this is a collection of papers written by his former students, co-authors and colleagues. The book represents the modern state of art of a quickly maturing theory and will be an essential source and reading for researchers in this area. Diversity of topics and comprehensive style of the papers make the book attractive for PhD students and young researchers.
Preface6
Contents10
Albert SHIRYAEV14
Publications of A.N. Shiryaev20
On Numerical Approximation of Stochastic Burgers’ Equation37
Optimal Time to Invest under Tax Exemptions52
A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales68
Interplay between Distributional and Temporal Dependence. An Empirical Study with High-frequency Asset Returns104
Asymptotic Methods for Stability Analysis of Markov Dynamical Systems with Fast Variables126
Some Particular Problems of Martingale Theory144
On the Absolute Continuity and Singularity of Measures on Filtered Spaces: Separating Times160
Optimal Hedging with Basis Risk204
Moderate Deviation Principle for Ergodic Markov Chain. Lipschitz Summands223
Remarks on Risk Neutral and Risk Sensitive Portfolio Optimization244
On Existence and Uniqueness of Reflected Solutions of Stochastic Equations Driven by Symmetric Stable Processes260
A Note on Pricing, Duality and Symmetry for Two-Dimensional Levy Markets282
Enlargement of Filtration and Additional Information in Pricing Models: Bayesian Approach290
A Minimax Result for f-Divergences319
Impulse and Absolutely Continuous Ergodic Control of One-Dimensional Itˆo Diffusions327
A Consumption–Investment Problem with Production Possibilities347
Multiparameter Generalizations of the Dalang–Morton–Willinger Theorem365
A Didactic Note on Affine Stochastic Volatility Models374
Uniform Optimal Transmission of Gaussian Messages400
A Note on the Brownian Motion415
Continuous Time Volatility Modelling: COGARCH versus Ornstein–Uhlenbeck Models423
Tail Distributions of Supremum and Quadratic Variation of Local Martingales450
Stochastic Differential Equations: A Wiener Chaos Approach462
A Martingale Equation of Exponential Type536
On Local Martingale and its Supremum: Harmonic Functions and beyond.546
On the Fundamental Solution of the Kolmogorov–Shiryaev Equation563
Explicit Solution to an Irreversible Investment Model with a Stochastic Production Capacity575
Gittins Type Index Theorem for Randomly Evolving Graphs594
On the Existence of Optimal Portfolios for the Utility Maximization Problem in Discrete Time Financial Market Models616
The Optimal Stopping of a Markov Chain and Recursive Solution of Poisson and Bellman Equations636
On Lower Bounds for Mixing Coefficients of Markov Diffusions649