Titlebook: Stochastics of Environmental and Financial Economics; Centre of Advanced S Fred Espen Benth,Giulia Di Nunno Conference proceedings‘‘‘‘‘‘‘‘

Control-Group

Non-elliptic SPDEs and Ambit Fields: Existence of Densitiesetting of [.]. The density exists on the set where the nonlinearity . of the noise does not vanish. This complements the results in [.] where . is assumed to be bounded away from zero. The second example is an ambit field with a stochastic integral term having as integrator a Lévy basis of pure-jump, stable-like type.

石墨

Dynamic Risk Measures and Path-Dependent Second Order PDEst of càdlàg paths . valued endowed with the Skorokhod topology. These risk measures are shown to have regularity properties. We prove then that these time-consistent dynamic risk measures provide viscosity supersolutions and viscosity subsolutions for path-dependent semi-linear second order partial differential equations.

严厉批评

ACTIN

laparoscopy

绝食

Nonlinear Young Integrals via Fractional Calculus Feynman-Kac formula for stochastic heat equations with random coefficients (Hu and Lê, Nonlinear Young integrals and differential systems in Hölder media. Trans. Am. Math. Soc. (in press)). We also define iterated nonlinear integrals.

companion

reject

Non-elliptic SPDEs and Ambit Fields: Existence of Densitiese consists of SPDEs with Lipschitz continuous coefficients driven by a Gaussian noise white in time and with a stationary spatial covariance, in the setting of [.]. The density exists on the set where the nonlinearity . of the noise does not vanish. This complements the results in [.] where . is ass

Intuitive

Dynamic Risk Measures and Path-Dependent Second Order PDEsmartingale problem approach to path-dependent diffusion processes, we explicitly construct families of time-consistent dynamic risk measures on the set of càdlàg paths . valued endowed with the Skorokhod topology. These risk measures are shown to have regularity properties. We prove then that these

irreparable

Pricing , with a Market Triggerin trigger event occurs. In this paper we discuss some approaches to the problem of pricing . when its conversion and the other relevant credit events are triggered by the issuer’s share price. We introduce a new model of partial information which aims at enhancing the market trigger approach while