Titlebook: Seminar on Stochastic Analysis, Random Fields and Applications III; Centro Stefano Frans Robert C. Dalang,Marco Dozzi,Francesco Russo Confe

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Affine Short Rate Models,es and show how CBI-processes naturally enter the field of term structure modelling. Using Markov semigroup theory we exploit the full structure behind an ATS and provide a deeper understanding of some well-known properties of the CIR model. As a byproduct we get that any conservative CBI-process is a semimartingale.

Foment

A Bayesian Adaptive Control Approach to Risk Management in a Binomial Model,r case of a binomial model when there is uncertainty about the probability of an “up-movement”. The solution turns out to be a rather intuitive extension of that for the classical Cox-Ross-Rubinstein model.

GLOSS

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How Random Are Random Walks?,le to deterministic analysis. Proposed is a continuous scale of random walks with interdependent steps, which is calibrated by combinatorial measurements. In the limit, modeling continuous time, this scale of random walks becomes a scale of chaos processes, which is calibrated by tail-probability estimates.

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Classical Solutions for SPDEs with Dirichlet Boundary Conditions,echniques (the stochastic characteristics method and a Itô-type formula for backward diffusions) which are already known in the literature, but not so widely used..We are able to prove both the existence of a stochastic flow related to the equation in spaces of continuous functions and a representation formula for the solution of the equation.

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Homocystinuria

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stress-test

Stochastic Calculus and Processes in Non-Commutative Space-Time,ental length. The Heisenberg algebra is replaced by the algebras of ISO(2) and ISO(1,1). A quantum stochastic calculus is developed for these algebras. Also discussed is the construction of stochastic processes when time is an operator not commuting with the coordinates.