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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
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)

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