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From Stochastic Calculus to Mathematical Finance - The Shiryaev Festschrift
Yu. Kabanov, R. Liptser, J. Stoyanov
Verlag Springer-Verlag, 2007
ISBN 9783540307884 , 633 Seiten
Format PDF, OL
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Geräte
Preface
6
Contents
10
Albert SHIRYAEV
14
Publications of A.N. Shiryaev
20
On Numerical Approximation of Stochastic Burgers’ Equation
37
Optimal Time to Invest under Tax Exemptions
52
A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales
68
Interplay between Distributional and Temporal Dependence. An Empirical Study with High-frequency Asset Returns
104
Asymptotic Methods for Stability Analysis of Markov Dynamical Systems with Fast Variables
126
Some Particular Problems of Martingale Theory
144
On the Absolute Continuity and Singularity of Measures on Filtered Spaces: Separating Times
160
Optimal Hedging with Basis Risk
204
Moderate Deviation Principle for Ergodic Markov Chain. Lipschitz Summands
223
Remarks on Risk Neutral and Risk Sensitive Portfolio Optimization
244
On Existence and Uniqueness of Reflected Solutions of Stochastic Equations Driven by Symmetric Stable Processes
260
A Note on Pricing, Duality and Symmetry for Two-Dimensional Levy Markets
282
Enlargement of Filtration and Additional Information in Pricing Models: Bayesian Approach
290
A Minimax Result for f-Divergences
319
Impulse and Absolutely Continuous Ergodic Control of One-Dimensional Itˆo Diffusions
327
A Consumption–Investment Problem with Production Possibilities
347
Multiparameter Generalizations of the Dalang–Morton–Willinger Theorem
365
A Didactic Note on Affine Stochastic Volatility Models
374
Uniform Optimal Transmission of Gaussian Messages
400
A Note on the Brownian Motion
415
Continuous Time Volatility Modelling: COGARCH versus Ornstein–Uhlenbeck Models
423
Tail Distributions of Supremum and Quadratic Variation of Local Martingales
450
Stochastic Differential Equations: A Wiener Chaos Approach
462
A Martingale Equation of Exponential Type
536
On Local Martingale and its Supremum: Harmonic Functions and beyond.
546
On the Fundamental Solution of the Kolmogorov–Shiryaev Equation
563
Explicit Solution to an Irreversible Investment Model with a Stochastic Production Capacity
575
Gittins Type Index Theorem for Randomly Evolving Graphs
594
On the Existence of Optimal Portfolios for the Utility Maximization Problem in Discrete Time Financial Market Models
616
The Optimal Stopping of a Markov Chain and Recursive Solution of Poisson and Bellman Equations
636
On Lower Bounds for Mixing Coefficients of Markov Diffusions
649
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