The Resource From stochastic calculus to mathematical finance : the Shiryaev Festschrift, Yu. Kabanov, R. Lipster, J. Stoyanov
From stochastic calculus to mathematical finance : the Shiryaev Festschrift, Yu. Kabanov, R. Lipster, J. Stoyanov
Resource Information
The item From stochastic calculus to mathematical finance : the Shiryaev Festschrift, Yu. Kabanov, R. Lipster, J. Stoyanov represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Missouri Libraries.This item is available to borrow from 1 library branch.
Resource Information
The item From stochastic calculus to mathematical finance : the Shiryaev Festschrift, Yu. Kabanov, R. Lipster, J. Stoyanov represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Missouri Libraries.
This item is available to borrow from 1 library branch.
 Summary
 Dedicated to the eminent Russian mathematician Albert Shiryaev on the occasion of his 70th birthday, the Festschrift is a collection of papers, including several surveys, written by his former students, coauthors and colleagues. These reflect the wide range of scientific interests of the teacher and his Moscow school. The topics range from the disorder problems to stochastic calculus and their applications to mathematical economics and finance. A full biobibliography of Shiryaev's works is included. The book represents the modern state of art of many aspects of a quickly maturing theory and will be an essential source and reading for researchers in this area. The diversity of the topics and the comprehensive style of the papers make the book amenable and attractive for PhD students and young researchers
 Language
 eng
 Extent
 1 online resource (xxxvii, 633 pages)
 Contents

 On Numerical Approximation of Stochastic Burgers' Equation
 Optimal Time to Invest under Tax Exemptions
 A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales
 Interplay between Distributional and Temporal Dependence. An Empirical Study with Highfrequency Asset Returns
 Asymptotic Methods for Stability Analysis of Markov Dynamical Systems with Fast Variables
 Some Particular Problems of Martingale Theory
 On the Absolute Continuity and Singularity of Measures on Filtered Spaces: Separating Times
 Optimal Hedging with Basis Risk
 Moderate Deviation Principle for Ergodic Markov Chain. Lipschitz Summands
 Remarks on Risk Neutral and Risk Sensitive Portfolio Optimization
 On Existence and Uniqueness of Reflected Solutions of Stochastic Equations Driven by Symmetric Stable Processes
 A Note on Pricing, Duality and Symmetry for TwoDimensional Lévy Markets
 Enlargement of Filtration and Additional Information in Pricing Models: Bayesian Approach
 A Minimax Result for fDivergences
 Impulse and Absolutely Continuous Ergodic Control of OneDimensional Itô Diffusions
 A ConsumptionInvestment Problem with Production Possibilities
 Multiparameter Generalizations of the DalangMorton Willinger Theorem
 A Didactic Note on Affine Stochastic Volatility Models
 Uniform Optimal Transmission of Gaussian Messages
 A Note on the Brownian Motion
 Continuous Time Volatility Modelling: COGARCH versus OrnsteinUhlenbeck Models
 Tail Distributions of Supremum and Quadratic Variation of Local Martingales
 Stochastic Differential Equations: A Wiener Chaos Approach
 A Martingale Equation of Exponential Type
 On Local Martingale and its Supremum: Harmonic Functions and beyond
 On the Fundamental Solution of the KolmogorovShiryaev Equation
 Explicit Solution to an Irreversible Investment Model with a Stochastic Production Capacity
 Gittins Type Index Theorem for Randomly Evolving Graphs
 On the Existence of Optimal Portfolios for the Utility Maximization Problem in Discrete Time Financial Market Models
 The Optimal Stopping of a Markov Chain and Recursive Solution of Poisson and Bellman Equations
 On Lower Bounds for Mixing Coefficients of Markov Diffusions
 Isbn
 9783540307822
 Label
 From stochastic calculus to mathematical finance : the Shiryaev Festschrift
 Title
 From stochastic calculus to mathematical finance
 Title remainder
 the Shiryaev Festschrift
 Statement of responsibility
 Yu. Kabanov, R. Lipster, J. Stoyanov
 Subject

 Business mathematics
 Business mathematics
 Business mathematics  Congresses
 Conference papers and proceedings
 Conference papers and proceedings
 Financiering
 MATHEMATICS  Probability & Statistics  General
 Stochastic analysis
 Stochastic analysis
 Stochastic analysis
 Stochastic analysis  Congresses
 Stochastische analyse
 Business mathematics
 Language
 eng
 Summary
 Dedicated to the eminent Russian mathematician Albert Shiryaev on the occasion of his 70th birthday, the Festschrift is a collection of papers, including several surveys, written by his former students, coauthors and colleagues. These reflect the wide range of scientific interests of the teacher and his Moscow school. The topics range from the disorder problems to stochastic calculus and their applications to mathematical economics and finance. A full biobibliography of Shiryaev's works is included. The book represents the modern state of art of many aspects of a quickly maturing theory and will be an essential source and reading for researchers in this area. The diversity of the topics and the comprehensive style of the papers make the book amenable and attractive for PhD students and young researchers
 Cataloging source
 GW5XE
 Dewey number
 519.2/2
 Illustrations
 illustrations
 Index
 no index present
 LC call number
 QA274.2
 LC item number
 .B33 2005eb
 Literary form
 non fiction
 http://bibfra.me/vocab/lite/meetingDate
 2005
 http://bibfra.me/vocab/lite/meetingName
 Bachelier Colloquium on Stochastic Calculus and Probability
 Nature of contents

 dictionaries
 bibliography
 http://library.link/vocab/relatedWorkOrContributorName

 Shiri︠a︡ev, A. N.
 Kabanov, Yuri
 Lipt︠s︡er, R. Sh.
 Stoi︠a︡nov, Ĭordan
 http://library.link/vocab/subjectName

 Stochastic analysis
 Business mathematics
 MATHEMATICS
 Stochastic analysis
 Business mathematics
 Business mathematics
 Stochastic analysis
 Stochastische analyse
 Financiering
 Label
 From stochastic calculus to mathematical finance : the Shiryaev Festschrift, Yu. Kabanov, R. Lipster, J. Stoyanov
 Bibliography note
 Includes bibliographical references
 Carrier category
 online resource
 Carrier category code

 cr
 Carrier MARC source
 rdacarrier
 Color
 multicolored
 Content category
 text
 Content type code

 txt
 Content type MARC source
 rdacontent
 Contents
 On Numerical Approximation of Stochastic Burgers' Equation  Optimal Time to Invest under Tax Exemptions  A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales  Interplay between Distributional and Temporal Dependence. An Empirical Study with Highfrequency Asset Returns  Asymptotic Methods for Stability Analysis of Markov Dynamical Systems with Fast Variables  Some Particular Problems of Martingale Theory  On the Absolute Continuity and Singularity of Measures on Filtered Spaces: Separating Times  Optimal Hedging with Basis Risk  Moderate Deviation Principle for Ergodic Markov Chain. Lipschitz Summands  Remarks on Risk Neutral and Risk Sensitive Portfolio Optimization  On Existence and Uniqueness of Reflected Solutions of Stochastic Equations Driven by Symmetric Stable Processes  A Note on Pricing, Duality and Symmetry for TwoDimensional Lévy Markets  Enlargement of Filtration and Additional Information in Pricing Models: Bayesian Approach  A Minimax Result for fDivergences  Impulse and Absolutely Continuous Ergodic Control of OneDimensional Itô Diffusions  A ConsumptionInvestment Problem with Production Possibilities  Multiparameter Generalizations of the DalangMorton Willinger Theorem  A Didactic Note on Affine Stochastic Volatility Models  Uniform Optimal Transmission of Gaussian Messages  A Note on the Brownian Motion  Continuous Time Volatility Modelling: COGARCH versus OrnsteinUhlenbeck Models  Tail Distributions of Supremum and Quadratic Variation of Local Martingales  Stochastic Differential Equations: A Wiener Chaos Approach  A Martingale Equation of Exponential Type  On Local Martingale and its Supremum: Harmonic Functions and beyond  On the Fundamental Solution of the KolmogorovShiryaev Equation  Explicit Solution to an Irreversible Investment Model with a Stochastic Production Capacity  Gittins Type Index Theorem for Randomly Evolving Graphs  On the Existence of Optimal Portfolios for the Utility Maximization Problem in Discrete Time Financial Market Models  The Optimal Stopping of a Markov Chain and Recursive Solution of Poisson and Bellman Equations  On Lower Bounds for Mixing Coefficients of Markov Diffusions
 Control code
 262692598
 Dimensions
 unknown
 Extent
 1 online resource (xxxvii, 633 pages)
 Form of item
 online
 Isbn
 9783540307822
 Media category
 computer
 Media MARC source
 rdamedia
 Media type code

 c
 Other control number
 9783540307822
 Other physical details
 illustrations
 http://library.link/vocab/ext/overdrive/overdriveId
 9783540307822
 Specific material designation
 remote
 System control number
 (OCoLC)262692598
 Label
 From stochastic calculus to mathematical finance : the Shiryaev Festschrift, Yu. Kabanov, R. Lipster, J. Stoyanov
 Bibliography note
 Includes bibliographical references
 Carrier category
 online resource
 Carrier category code

 cr
 Carrier MARC source
 rdacarrier
 Color
 multicolored
 Content category
 text
 Content type code

 txt
 Content type MARC source
 rdacontent
 Contents
 On Numerical Approximation of Stochastic Burgers' Equation  Optimal Time to Invest under Tax Exemptions  A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales  Interplay between Distributional and Temporal Dependence. An Empirical Study with Highfrequency Asset Returns  Asymptotic Methods for Stability Analysis of Markov Dynamical Systems with Fast Variables  Some Particular Problems of Martingale Theory  On the Absolute Continuity and Singularity of Measures on Filtered Spaces: Separating Times  Optimal Hedging with Basis Risk  Moderate Deviation Principle for Ergodic Markov Chain. Lipschitz Summands  Remarks on Risk Neutral and Risk Sensitive Portfolio Optimization  On Existence and Uniqueness of Reflected Solutions of Stochastic Equations Driven by Symmetric Stable Processes  A Note on Pricing, Duality and Symmetry for TwoDimensional Lévy Markets  Enlargement of Filtration and Additional Information in Pricing Models: Bayesian Approach  A Minimax Result for fDivergences  Impulse and Absolutely Continuous Ergodic Control of OneDimensional Itô Diffusions  A ConsumptionInvestment Problem with Production Possibilities  Multiparameter Generalizations of the DalangMorton Willinger Theorem  A Didactic Note on Affine Stochastic Volatility Models  Uniform Optimal Transmission of Gaussian Messages  A Note on the Brownian Motion  Continuous Time Volatility Modelling: COGARCH versus OrnsteinUhlenbeck Models  Tail Distributions of Supremum and Quadratic Variation of Local Martingales  Stochastic Differential Equations: A Wiener Chaos Approach  A Martingale Equation of Exponential Type  On Local Martingale and its Supremum: Harmonic Functions and beyond  On the Fundamental Solution of the KolmogorovShiryaev Equation  Explicit Solution to an Irreversible Investment Model with a Stochastic Production Capacity  Gittins Type Index Theorem for Randomly Evolving Graphs  On the Existence of Optimal Portfolios for the Utility Maximization Problem in Discrete Time Financial Market Models  The Optimal Stopping of a Markov Chain and Recursive Solution of Poisson and Bellman Equations  On Lower Bounds for Mixing Coefficients of Markov Diffusions
 Control code
 262692598
 Dimensions
 unknown
 Extent
 1 online resource (xxxvii, 633 pages)
 Form of item
 online
 Isbn
 9783540307822
 Media category
 computer
 Media MARC source
 rdamedia
 Media type code

 c
 Other control number
 9783540307822
 Other physical details
 illustrations
 http://library.link/vocab/ext/overdrive/overdriveId
 9783540307822
 Specific material designation
 remote
 System control number
 (OCoLC)262692598
Subject
 Business mathematics
 Business mathematics
 Business mathematics  Congresses
 Conference papers and proceedings
 Conference papers and proceedings
 Financiering
 MATHEMATICS  Probability & Statistics  General
 Stochastic analysis
 Stochastic analysis
 Stochastic analysis
 Stochastic analysis  Congresses
 Stochastische analyse
 Business mathematics
Genre
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<div class="citation" vocab="http://schema.org/"><i class="fa faexternallinksquare fafw"></i> Data from <span resource="http://link.library.missouri.edu/portal/Fromstochasticcalculustomathematicalfinance/DsNkmukV9rk/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.library.missouri.edu/portal/Fromstochasticcalculustomathematicalfinance/DsNkmukV9rk/">From stochastic calculus to mathematical finance : the Shiryaev Festschrift, Yu. Kabanov, R. Lipster, J. Stoyanov</a></span>  <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.library.missouri.edu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.library.missouri.edu/">University of Missouri Libraries</a></span></span></span></span></div>