Seminar on Stochastic Analysis, Random Fields

This volume contains refereed research or review papers presented at the 6th Seminar on Stochastic Processes, Random Fields and Applications, which took place at the Centro Stefano Franscini (Monte Verità) in Ascona, Switzerland, in May 2008. The seminar focused mainly on stochastic partial differential equations, especially large deviations and control problems, on infinite dimensional analysis, particle systems and financial engineering, especially energy markets and climate models. The book will be a valuable resource for researchers in stochastic analysis and professionals interested in stochastic methods in finance.

Preface	p. vii
List of Participants	p. ix
Stochastic Analysis and Random Fields
The Trace Formula for the Heat Semigroup with Polynomial Potential	p. 3
Existence Results for Fokker-Planck Equations in Hilbert Spaces	p. 23
Uniqueness in Law of the Itô Integral with Respect to Lévy Noise	p. 37
Statistical Inference and Malliavin Calculus	p. 59
Hydrodynamics, Probability and the Geometry of the Diffeomorphisms Group	p. 83
On Stochastic Ergodic Control in Infinite Dimensions	p. 95
Yet Another Look at Harris' Ergodic Theorem for Markov Chains	p. 109
Old and New Examples of Scale Functions for Spectrally Negative Lévy Processes	p. 119
A Visual Criterion for Identifying Itô Diffusions as Martingales or Strict Local Martingales	p. 147
Are Fractional Brownian Motions Predictable?	p. 159
Control of Exit Time for Lagrangian Systems with Weak Noise	p. 167
A Probabilistic Deformation of Calculus of Variations with Constraints	p. 177
Exponential Integrability and DLR Consistence of Some Rough Functionals	p. 191
A Family of Series Representations of the Multiparameter Fractional Brownian Motion	p. 209
The Martingale Problem for Markov Solutions to the Navier-Stokes Equations	p. 227
Functional Inequalities for the Wasserstein Dirichlet Form	p. 245
Entropic Measure on Multidimensional Spaces	p. 261
Properties of Strong Local Nondeterminism and Local Times of Stable Random Fields	p. 279
Stochastic Methods in Financial Models
Hedging with Residual Risk: A BSDE Approach	p. 311
Auto-tail Dependence Coefficients for Stationary Solutions of Linear Stochastic Recurrence Equations and for GARCH(1,1)	p. 327
The Clean Development Mechanism and Joint Price Formation for Allowances and CERs	p. 341
Optimal Investment Problems with Marked Point Processes	p. 385
Doubly Stochastic CDO Term Structures	p. 413
A Framework for Dynamic Hedging under Convex Risk Measures	p. 429
On the Stability of Prices of Contingent Claims in Incomplete Models Under Statistical Estimations	p. 453
Analyzing the Fine Structure of Continuous Time Stochastic Processes	p. 473
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Seminar on Stochastic Analysis, Random Fields and Applications VI

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