Viens, Frederi

Malliavin Calculus and Stochastic Analysis

Viens, Frederi - Malliavin Calculus and Stochastic Analysis, ebook


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Table of contents

Part I. Malliavin Calculus and Wiener Space Theory

1. An Application of Gaussian Measures to Functional Analysis
Daniel W. Stroock

2. Stochastic Taylor Formulas and Riemannian Geometry
Mark A. Pinsky

3. Local Invertibility of Adapted Shifts on Wiener Space and Related Topics
Rémi Lassalle, A. S. Üstünel

4. Dilation Vector Field on Wiener Space
Hélène Airault

5. The Calculus of Differentials for the Weak Stratonovich Integral
Jason Swanson

Part II. Stochastic Differential Equations

6. Large Deviations for Hilbert-Space-Valued Wiener Processes: A Sequence Space Approach
Andreas Andresen, Peter Imkeller, Nicolas Perkowski

7. Stationary Distributions for Jump Processes with Inert Drift
K. Burdzy, T. Kulczycki, R. L. Schilling

8. An Ornstein-Uhlenbeck-Type Process Which Satisfies Sufficient Conditions for a Simulation-Based Filtering Procedure
Arturo Kohatsu-Higa, Kazuhiro Yasuda

9. Escape Probability for Stochastic Dynamical Systems with Jumps
Huijie Qiao, Xingye Kan, Jinqiao Duan

Part III. Stochastic Partial Differential Equations

10. On the Stochastic Navier–Stokes Equation Driven by Stationary White Noise
Chia Ying Lee, Boris Rozovskii

11. Intermittency and Chaos for a Nonlinear Stochastic Wave Equation in Dimension 1
Daniel Conus, Mathew Joseph, Davar Khoshnevisan, Shang-Yuan Shiu

12. Generalized Stochastic Heat Equations
David Márquez-Carreras

13. Gaussian Upper Density Estimates for Spatially Homogeneous SPDEs
Lluís Quer-Sardanyons

14. Stationarity of the Solution for the Semilinear Stochastic Integral Equation on the Whole Real Line
Bijan Z. Zangeneh

Part IV. Fractional Brownian Models

15. A Strong Approximation of Subfractional Brownian Motion by Means of Transport Processes
Johanna Garzón, Luis G. Gorostiza, Jorge A. León

16. Malliavin Calculus for Fractional Heat Equation
Aurélien Deya, Samy Tindel

17. Parameter Estimation for α-Fractional Bridges
Khalifa Es-Sebaiy, Ivan Nourdin

18. Gradient Bounds for Solutions of Stochastic Differential Equations Driven by Fractional Brownian Motions
Fabrice Baudoin, Cheng Ouyang

19. Parameter Estimation for Fractional Ornstein–Uhlenbeck Processes with Discrete Observations
Yaozhong Hu, Jian Song

Part V. Applications of Stochastic Analysis

20. The Effect of Competition on the Height and Length of the Forest of Genealogical Trees of a Large Population
Mamadou Ba, Etienne Pardoux

21. Linking Progressive and Initial Filtration Expansions
Younes Kchia, Martin Larsson, Philip Protter

22. A Malliavin Calculus Approach to General Stochastic Differential Games with Partial Information
An Ta Thi Kieu, Bernt Øksendal, Yeliz Yolcu Okur

23. Asymptotics for the Length of the Longest Increasing Subsequence of a Binary Markov Random Word
Christian Houdré, Trevis J. Litherland

24. A Short Rate Model Using Ambit Processes
José Manuel Corcuera, Gergely Farkas, Wim Schoutens, Esko Valkeila

25. Parametric Regularity of the Conditional Expectations via the Malliavin Calculus and Applications
A. S. Üstünel

Keywords: Mathematics, Probability Theory and Stochastic Processes, Quantitative Finance, Applications of Mathematics

Publication year
Springer Proceedings in Mathematics & Statistics
Natural Sciences

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