Surveys in Stochastic Processes

Front Cover
Jochen Blath, Peter Imkeller, Sylvie Rœlly
European Mathematical Society, 2011 - Mathematics - 248 pages
The 33rd Bernoulli Society Conference on Stochastic Processes and Their Applications was held in Berlin from July 27 to July 31, 2009. It brought together more than 600 researchers from 49 countries to discuss recent progress in the mathematical research related to stochastic processes, with applications ranging from biology to statistical mechanics, finance and climatology. This book collects survey articles highlighting new trends and focal points in the area written by plenary speakers of the conference, all of them outstanding international experts. A particular aim of this collection is to inspire young scientists to pursue research goals in the wide range of fields represented in this volume.
 

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Contents

a review with news on option pricing and statistical inference
29
Some properties of quasistationary distributions for finite Markov chains
59
From exploration paths to mass excursions variations on a theme of
87
Malliavin calculus and Steins method
107
Merging and stability for time inhomogeneous finite Markov chains
127
Some mathematical aspects of market impact modeling
153
A brief survey
181
by Masayoshi Takeda
201
Some recent progress on functional inequalities and applications
227
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