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Über dieses Buch

Dedicated to the eminent Russian mathematician Albert Shiryaev on the occasion of his 70th birthday, the Festschrift is a collection of papers, including several surveys, written by his former students, co-authors and colleagues. These reflect the wide range of scientific interests of the teacher and his Moscow school. The topics range from the disorder problems to stochastic calculus and their applications to mathematical economics and finance. A full biobibliography of Shiryaev’s works is included.

The book represents the modern state of art of many aspects of a quickly maturing theory and will be an essential source and reading for researchers in this area. The diversity of the topics and the comprehensive style of the papers make the book amenable and attractive for PhD students and young researchers.

Inhaltsverzeichnis

Frontmatter

On Numerical Approximation of Stochastic Burgers' Equation

Aureli Alabert, István Gyongy

Optimal Time to Invest under Tax Exemptions

Vadim I. Arkin, Alexander D. Slastnikov

A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales

Ole E. Barndorff–Nielsen, Svend Erik Graversen, Jean Jacod, Mark Podolskij, Neil Shephard

Interplay between Distributional and Temporal Dependence. An Empirical Study with High-frequency Asset Returns

Nick H. Bingham, Rafael Schmidt

Asymptotic Methods for Stability Analysis of Markov Dynamical Systems with Fast Variables

Jevgenijs Carkovs, Jordan Stoyanov

Some Particular Problems of Martingale Theory

Alexander Cherny

On the Absolute Continuity and Singularity of Measures on Filtered Spaces: Separating Times

Alexander Cherny, Mikhail Urusov

Optimal Hedging with Basis Risk

Mark H. A. Davis

Moderate Deviation Principle for Ergodic Markov Chain. Lipschitz Summands

Bernard Delyon, Anatoly Juditsky, Robert Liptser

Remarks on Risk Neutral and Risk Sensitive Portfolio Optimization

Giovanni B. Di Masi, Lukasz Stettner

On Existence and Uniqueness of Reflected Solutions of Stochastic Equations Driven by Symmetric Stable Processes

Hans-Jürgen Engelbert, Vladimir P. Kurenok, Adrian Zalinescu

A Note on Pricing, Duality and Symmetry for Two-Dimensional Lévy Markets

José Fajardo, Ernesto Mordecki

Enlargement of Filtration and Additional Information in Pricing Models: Bayesian Approach

Dario Gasbarra, Esko Valkeila, Lioudmila Vostrikova

A Minimax Result for f-Divergences

Alexander A. Gushchin, Denis A. Zhdanov

Impulse and Absolutely Continuous Ergodic Control of One-Dimensional Itô Diffusions

Andrew Jack, Mihail Zervos

A Consumption–Investment Problem with Production Possibilities

Yuri Kabanov, Masaaki Kijima

Multiparameter Generalizations of the Dalang–Morton– Willinger Theorem

Yuri Kabanov, Yuliya Mishura, Ludmila Sakhno

A Didactic Note on Affine Stochastic Volatility Models

Jan Kallsen

Uniform Optimal Transmission of Gaussian Messages

Pavel K. Katyshev

A Note on the Brownian Motion

Kiyoshi Kawazu

Continuous Time Volatility Modelling: COGARCH versus Ornstein–Uhlenbeck Models

Claudia Klüppelberg, Alexander Lindner, Ross Maller

Tail Distributions of Supremum and Quadratic Variation of Local Martingales

Robert Liptser, Alexander Novikov

Stochastic Differential Equations: A Wiener Chaos Approach

Sergey Lototsky, Boris Rozovskii

A Martingale Equation of Exponential Type

Michael Mania, Revaz Tevzadze

On Local Martingale and its Supremum: Harmonic Functions and beyond

Jan Oblój, Marc Yor

On the Fundamental Solution of the Kolmogorov–Shiryaev Equation

Goran Peskir

Explicit Solution to an Irreversible Investment Model with a Stochastic Production Capacity

Huyên Pham

Gittins Type Index Theorem for Randomly Evolving Graphs

Ernst Presman, Isaac Sonin

On the Existence of Optimal Portfolios for the Utility Maximization Problem in Discrete Time Financial Market Models

Miklós Résonyi, Lukasz Stettner

The Optimal Stopping of a Markov Chain and Recursive Solution of Poisson and Bellman Equations

Isaac M. Sonin

On Lower Bounds for Mixing Coefficients of Markov Diffusions

A.Yu. Veretennikov
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