Seminar on Stochastic Analysis, Random Fields and Applications III

Centro Stefano Franscini, Ascona, September 1999

Light, atoms, and singularities.
How random are random walks ?.
Classical solutions for SPDEs with Dirichlet boundary conditions.
Credit Risk: The structural approach revisited.
Classical solutions for Kolmogorov equations in Hilbert spaces.
Monotone gradient systems in L2spaces.
Catalytic and mutually catalytic super-brownian motions.
Sticky particles, scalar conservation law and pressureless gas equations.
Affine short rate models.
A filtered EM algorithm for parameter estimation in linear filtering.
Instability of a quantum particle induced by a randomly varying spring coefficient.
On the superreplication approach for European interest rates derivatives.
A complete market model with Poisson and Brownian components.
Stochastic calculus and processes in non-commutative space-time.
A measure-valued process related to the parabolic Anderson model.
Homogenization of PDEs with non linear boundary condition.
A Bayesian adaptative control approach to risk management in a binomial model.
Hölder continuity for the stochastic heat equation with spatially correlated noise.
Regularity conditions for parabolic SPDEs on Lie groups.
Forward integrals and stochastic differential equations.