Seminar on Stochastic Analysis, Random Fields and Applications

Propagation of chaos — the inverse problem.- A remark on stachastic dynamics on the infinite-dimensional torus.- Diffusion-approximation for the advection-diffusion of a passive scalar by a space-time Gaussian velocity field.- A new space of white noise distributions and applications to SPDE’s.- Dissipativity of three-dimensional stochastic Navier-Stokes equation.- Bernstein diffusions and Euclidean quantum field theory.- A Fubini theorem for generalized Stratonovich integrals.- Large deviations via parameter dependent change of measure, and an application to the lower tail of Gaussian processes.- An equation modelling transport of a substance in a stochastic medium.- Stochastic representation of unitary quantum evolution.- Critical dimensions for the existence of self-intersection local times of the Brownian sheet in ?d.- Density estimates for stochastic partial differential equations.- Almost sure convergence of stochastic differential equations of jump-diffusion type.- Applications and foundations of quasi sure analysis.- A duality formula on the Poisson space and some applications.- Generalized functions and stochastic processes.- On the geometry defined by Dirichlet forms.- Random Brownian scaling and some absolute continuity relationships.- Recent progress in the hypercontractive semigroups.- Financial models.- Alternative estimators of a diffusion model of the term structure of interest rates. A Monte Carlo comparison.- Backward stochastic differential equations. Option hedging under additional cost.- Componentwise and vector stochastic integration with respect to certain multi-dimensional continuous local martingales.- Stock price returns and the Joseph effect: A fractional version of the Black-Scholes model.- Critical price for an American option nearmaturity.- Hedging of options under discrete observation on assets with stochastic volatility.- Convergence of option values under incompleteness.- Portfolio selection with transaction costs.