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Surveys in Stochastic Processes
Edited by: Jochen Blath, Technical University of Berlin, Germany, Peter Imkeller, Humboldt University of Berlin, Germany, and Sylvie Rœlly, University of Potsdam, Germany
A publication of the European Mathematical Society.
cover
EMS Series of Congress Reports
2011; 260 pp; hardcover
Volume: 4
ISBN-10: 3-03719-072-8
ISBN-13: 978-3-03719-072-2
List Price: US$98
Member Price: US$78.40
Order Code: EMSSCR/4
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The 33rd Bernoulli Society Conference on Stochastic Processes and Their Applications was held in Berlin from July 27 to July 31, 2009. It brought together more than 600 researchers from 49 countries to discuss recent progress in the mathematical research related to stochastic processes, with applications ranging from biology to statistical mechanics, finance and climatology.

This book collects survey articles highlighting new trends and focal points in the area written by plenary speakers of the conference, all of them outstanding international experts. A particular aim of this collection is to inspire young scientists to pursue research goals in the wide range of fields represented in this volume.

A publication of the European Mathematical Society (EMS). Distributed within the Americas by the American Mathematical Society.

Readership

Graduate students and research mathematicians interested in probability and statistics.

Table of Contents

  • S. Hamadène -- Optimal switching, systems of reflected BSDEs and systems of variational inequalities with inter-connected obstacles
  • C. Klüppelberg, R. Maller, and A. Szimayer -- The COGARCH: A review, with news on option pricing and statistical inference
  • S. Martinez and J. San Martin -- Some properties of quasi-stationary distributions for finite Markov chains
  • P. Mörters -- The parabolic Anderson model with heavy-tailed potential
  • E. Pardoux and A. Wakolbinger -- From exploration paths to mass excursions--variations on a theme of Ray and Knight
  • G. Reinert -- Gaussian approximation of functionals: Malliavin calculus and Stein's method
  • L. Saloff-Coste and J. Zúñiga -- Merging and stability for time inhomogeneous finite Markov chains
  • A. Schied and A. Slynko -- Some mathematical aspects of market impact modeling
  • G. Slade -- The self-avoiding walk: A brief survey
  • M. Takeda -- \(L^p\)-independence of growth bounds of Feynman-Kac semigroups
  • F.-Y. Wang -- Some recent progress on functional inequalities and applications
  • List of contributors
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