Seminar on Stochastic Analysis, Random Fields and Applications V (eBook)

Table of Contents 5
Preface 8
List of Participants 10
Stochastic Analysis and Random Fields 13
Detection of Dynamical Systems from Noisy Multivariate Time Series 14
A Bakry-Emery Criterion for Self-Interacting Diffusions 29
Stationary Solutions for the 2D Stochastic Dissipative Euler Equation 33
Volterra Equations Perturbed by a Gaussian Noise 47
Dirichlet Forms Methods: An Application to the Propagation of the Error Due to the Euler Scheme 66
A Note on Evolution Systems of Measures for Time-Dependent Stochastic Differential Equations 123
Remarks on 3D Stochastic Navier-Stokes Equations 131
Slices of a Brownian Sheet: New Results and Open Problems 143
An Estimate of the Convergence Rate in Diffusion Approximation of a Particle Motion under Random Forcing 183
Long-Time Behaviour for the Brownian Heat Kernel on a Compact Riemannian Manifold and Bismut’s Integration-by-Parts Formula 205
Probabilistic Deformation of Contact Geometry, Diffusion Processes and Their Quadratures 210
Approximation of Stochastic Di.erential Equations Driven by Fractional Brownian Motion 234
Critical Exponents for Semilinear PDEs with Bounded Potentials 249
Generalized Ornstein–Uhlenbeck Processes on Separable Banach Spaces 266
Approximation of Rough Paths of Fractional Brownian Motion 280
A One-Dimensional Analysis of Singularities and Turbulence for the Stochastic Burgers 309
A One-Dimensional Analysis of Singularities and Turbulence for the Stochastic Burgers Equation in d Dimensions 309
Attractors for Ergodic and Monotone Random Dynamical Systems 335
On the Stability of Feynman-Kac Propagators 349
Some Applications of the Malliavin Calculus to Sub- Gaussian and Non-Sub-Gaussian Random Fields 367
Nonlinear Markovian Problems in Large Dimensions 400
Stochastic Methods in Financial Models 412
A Tychastic Approach to Guaranteed Pricing and Management of Portfolios under Transaction Constraints 413
Numerical Aspects of Loan Portfolio Optimization 436
An Orlicz Spaces Duality for Utility Maximization in Incomplete Markets 446
No Free Lunch under Transaction Costs for Continuous Processes 457
Robustness of the Hobson–Rogers Model with Respect to the Offset Function 468
PDE Approach to Utility Maximization for Market Models with Hidden Markov Factors 492
Generalizations of Merton’s Mutual Fund Theorem in Infinite- Dimensional Financial Models 506