New Trends In Stochastic Analysis And Related Topics

The volume is dedicated to Professor David Elworthy to celebrate his fundamental contribution and exceptional influence on stochastic analysis and related fields. Stochastic analysis has been profoundly developed as a vital fundamental research area in mathematics in recent decades. It has been discovered to have intrinsic connections with many other areas of mathematics such as partial differential equations, functional analysis, topology, differential geometry, dynamical systems, etc. Mathematicians developed many mathematical tools in stochastic analysis to understand and model random phenomena in physics, biology, finance, fluid, environment science, etc. This volume contains 12 comprehensive review/new articles written by world leading researchers (by invitation) and their collaborators. It covers stochastic analysis on manifolds, rough paths, Dirichlet forms, stochastic partial differential equations, stochastic dynamical systems, infinite dimensional analysis, stochastic flows, quantum stochastic analysis and stochastic Hamilton Jacobi theory. Articles contain cutting edge research methodology, results and ideas in relevant fields. They are of interest to research mathematicians and postgraduate students in stochastic analysis, probability, partial differential equations, dynamical systems, mathematical physics, as well as to physicists, financial mathematicians, engineers, etc.

This volume contains 27 refereed research articles and survey papers written by experts in the field of stochastic analysis and related topics. Most contributors are well known leading mathematicians worldwide and prominent young scientists. The volume reflects a review of the recent developments in stochastic analysis and related topics. It puts in evidence the strong interconnection of stochastic analysis with other areas of mathematics, as well as with applications of mathematics in natural and social economic sciences. The volume also provides some possible future directions for the field.The proceedings have been selected for coverage in: ? Index to Scientific & Technical Proceedings? (ISTP? / ISI Proceedings)? Index to Scientific & Technical Proceedings (ISTP CDROM version / ISI Proceedings)? CC Proceedings ? Engineering & Physical Sciences

This volume contains 27 refereed research articles and survey papers written by experts in the field of stochastic analysis and related topics. Most contributors are well known leading mathematicians worldwide and prominent young scientists. The volume reflects a review of the recent developments in stochastic analysis and related topics. It puts in evidence the strong interconnection of stochastic analysis with other areas of mathematics, as well as with applications of mathematics in natural and social economic sciences. The volume also provides some possible future directions for the field. The proceedings have been selected for coverage in: • Index to Scientific & Technical Proceedings® (ISTP® / ISI Proceedings) • Index to Scientific & Technical Proceedings (ISTP CDROM version / ISI Proceedings) • CC Proceedings — Engineering & Physical Sciences Contents:Invariant Gibbs Measures for the 2D Vortex Motion of Fluids (S Albeverio & B Ferrario)Limit Laws for Sums of Random Exponentials (G B Arous et al.)Stochastic Models of Economic Optimization (M-F Chen)Essential Spectrum on Riemannian Manifolds (K D Elworthy & F-Y Wang)Lévy Process on Real Lie Algebras (U Franz)Wick Rotation for Holomorphic Random Fields (H Gottschalk)Stochastic Mollifier and Nash Inequality (R Léandre)Precise Estimations Related to Large Deviations (S Liang)Stochastic Holonomy (I Mitoma)Independence and Product Systems (M Skeide)and other papers Readership: Graduate students, teachers and researchers in stochastic analysis. Keywords:Stochastic Analysis;Infinite Dimensional Analysis;Quantum Probability;Pseudo-Differential Operators;Random Media;Stochastic Finance;Stochastic Partial Differential Equation

One of the most challenging subjects of stochastic analysis in relation to physics is the analysis of heat kernels on infinite dimensional manifolds. The simplest nontrivial case is that of thepath and loop space on a Lie group. In this volume an up-to-date survey of the topic is given by Leonard Gross, a prominent developer of the theory. Another concise but complete survey of Hausdorff measures on Wiener space and its applications to Malliavin Calculus is given by D. Feyel, one of the most active specialists in this area. Other survey articles deal with short-time asymptotics of diffusion pro cesses with values in infinite dimensional manifolds and large deviations of diffusions with discontinuous drifts. A thorough survey is given of stochas tic integration with respect to the fractional Brownian motion, as well as Stokes' formula for the Brownian sheet, and a new version of the log Sobolev inequality on the Wiener space. Professional mathematicians looking for an overview of the state-of-the art in the above subjects will find this book helpful. In addition, graduate students as well as researchers whose domain requires stochastic analysis will find the original results of interest for their own research. The organizers acknowledge gratefully the financial help ofthe University of Oslo, and the invaluable aid of Professor Bernt 0ksendal and l'Ecole Nationale Superieure des Telecommunications.

This book presents the current status and research trends in Stochastic Analysis. Several new and emerging research areas are described in detail, highlighting the present outlook in Stochastic Analysis and its impact on abstract analysis. The book focuses on treating problems in areas that serve as a launching pad for continual research. Contents:Gaussian Measures on Infinite Dimensional Spaces (V I Bogachev)Random Fields and Hypergroups (Herbert Heyer)A Concise Exposition of Large Deviations (F Hiai)Quantum White Noise Calculus and Applications (Un Cig Ji and Nobuaki Obata)Weak Radon–Nikodým Derivatives, Dunford–Schwartz Type Integration, and Cramér and Karhunen Processes (Yûichirô Kakihara)Entropy, SDE–LDP and Fenchel–Legendre–Orlicz Classes (M M Rao)Bispectral Density Estimation in Harmonizable Processes (H Soedjak) Readership: Graduate students and researchers in Probability and Stochastic Analysis. Keywords:Stochastic Measures;Stochastic Differential Equations;RSA-Current TrendsKey Features:The book covers new developments in Stochastic AnalysisThe research works contain detailed exposition to induce new researchers

First published in 1993. Routledge is an imprint of Taylor & Francis, an informa company.

A collection of solicited and refereed articles from distinguished researchers across the field of stochastic analysis and its application to finance. It covers the topics ranging from Markov processes, backward stochastic differential equations, stochastic partial differential equations, and stochastic control, to risk measure and risk theory.

As in the case of the two previous volumes published in 1986 and 1997, the purpose of this monograph is to focus the interplay between real (functional) analysis and stochastic analysis show their mutual benefits and advance the subjects. The presentation of each article, given as a chapter, is in a research-expository style covering the respective topics in depth. In fact, most of the details are included so that each work is essentially self contained and thus will be of use both for advanced graduate students and other researchers interested in the areas considered. Moreover, numerous new problems for future research are suggested in each chapter. The presented articles contain a substantial number of new results as well as unified and simplified accounts of previously known ones. A large part of the material cov ered is on stochastic differential equations on various structures, together with some applications. Although Brownian motion plays a key role, (semi-) martingale theory is important for a considerable extent. Moreover, noncommutative analysis and probabil ity have a prominent role in some chapters, with new ideas and results. A more detailed outline of each of the articles appears in the introduction and outline to assist readers in selecting and starting their work. All chapters have been reviewed.