Opis: Lectures on Probability Theory and Statistics - Sergio Albeverio, Michel Talagrand, Walter Schachermayer

In World Mathematical Year 2000 the traditional St. Flour Summer School was hosted jointly with the European Mathematical Society. Sergio Albeverio reviews the theory of Dirichlet forms, and gives applications including partial differential equations, stochastic dynamics of quantum systems, quantum fields and the geometry of loop spaces. The second text, by Walter Schachermayer, is an introduction to the basic concepts of mathematical finance, including the Bachelier and Black-Scholes models. The fundamental theorem of asset pricing is discussed in detail. Finally Michel Talagrand, gives an overview of the mean field models for spin glasses. This text is a major contribution towards the proof of certain results from physics, and includes a discussion of the Sherrington-Kirkpatrick and the p-spin interaction models.Part I, S. Albeverio: Theory of Dirichlet forms and applications: 0. Introduction.- 1. Functional analytic background: semigroups, generators, resolvents.- 2. Closed symmetric coersive forms associated with C0-contraction semigroups.- 3. Contraction properties of forms, positivity preserving and submarkovian semigroups.- 4. Potential Theory and Markov Processes associated with Dirichlet Forms.- 5. Diffusions and stochastic differential equations associated with classical Dirichlet Forms.- 6. Applications.- References.- Index.- Part II, W. Schachermayer: Introduction to the Mathematics of Financial Markets: 1. Introduction: Bachelier's Thesis from 1900.- 2. Models of Financial Markets on Finite Probability Spaces.- 3. The Binomial Model, Bachelier's Model and the Blach-Scholes Model.- 4. The No-Arbitrage Theory for General Processes.- 5. Some Applications of the Fundamental Theorem of Asset Pricing.- References.- Part III, M. Talagrand: Mean field models for spin glasses: a first course: 1. Introduction.- 2. What this is all about: the REM.- 3. The Sherrington-Kirkpatrick model at high temperature.- 4. The p-spin interaction model.- 5. External field and the replica-symmetric solution.- 6. Exponential inequalities.- 7. Central limit theorems and the Almeida-Thoules line.- 8. Emergence and separation of the lumps in the p-spin interaction model.- Bibliography.

Szczegóły: Lectures on Probability Theory and Statistics - Sergio Albeverio, Michel Talagrand, Walter Schachermayer

Tytuł: Lectures on Probability Theory and Statistics
Autor: Sergio Albeverio, Michel Talagrand, Walter Schachermayer
Producent: Springer Verlag
ISBN: 9783540403357
Rok produkcji: 2003
Ilość stron: 308
Oprawa: Miękka
Waga: 0.44 kg

Recenzje: Lectures on Probability Theory and Statistics - Sergio Albeverio, Michel Talagrand, Walter Schachermayer