Stochastic Analysis and Random Fields -- Detection of Dynamical Systems from Noisy Multivariate Time Series -- A Bakry-Emery Criterion for Self-Interacting Diffusions -- Stationary Solutions for the 2D Stochastic Dissipative Euler Equation -- Volterra Equations Perturbed by a Gaussian Noise -- Dirichlet Forms Methods: An Application to the Propagation of the Error Due to the Euler Scheme -- Individual-Based Probabilistic Models of Adaptive Evolution and Various Scaling Approximations -- A Note on Evolution Systems of Measures for Time-Dependent Stochastic Differential Equations -- Remarks on 3D Stochastic Navier-Stokes Equations -- Slices of a Brownian Sheet: New Results and Open Problems -- An Estimate of the Convergence Rate in Diffusion Approximation of a Particle Motion under Random Forcing -- Long-Time Behaviour for the Brownian Heat Kernel on a Compact Riemannian Manifold and Bismut’s Integration-by-Parts Formula -- Probabilistic Deformation of Contact Geometry, Diffusion Processes and Their Quadratures -- Approximation of Stochastic Differential Equations Driven by Fractional Brownian Motion -- Critical Exponents for Semilinear PDEs with Bounded Potentials -- Generalized Ornstein-Uhlenbeck Processes on Separable Banach Spaces -- Approximation of Rough Paths of Fractional Brownian Motion -- A One-Dimensional Analysis of Singularities and Turbulence for the Stochastic Burgers Equation in d Dimensions -- Attractors for Ergodic and Monotone Random Dynamical Systems -- On the Stability of Feynman-Kac Propagators -- Some Applications of the Malliavin Calculus to Sub-Gaussian and Non-Sub-Gaussian Random Fields -- Nonlinear Markovian Problems in Large Dimensions -- Stochastic Methods in Financial Models -- A Tychastic Approach to Guaranteed Pricing and Management of Portfolios under Transaction Constraints -- Numerical Aspects of Loan Portfolio Optimization -- An Orlicz Spaces Duality for Utility Maximization in Incomplete Markets -- No Free Lunch under Transaction Costs for Continuous Processes -- Robustness of the Hobson-Rogers Model with Respect to the Offset Function -- PDE Approach to Utility Maximization for Market Models with Hidden Markov Factors -- Generalizations of Merton’s Mutual Fund Theorem in Infinite-Dimensional Financial Models.

This volume contains twenty-eight refereed research or review papers presented at the 5th Seminar on Stochastic Processes, Random Fields and Applications, which took place at the Centro Stefano Franscini (Monte Verità) in Ascona, Switzerland, from May 30 to June 3, 2005. The seminar focused mainly on stochastic partial differential equations, random dynamical systems, infinite-dimensional analysis, approximation problems, and financial engineering. The book will be a valuable resource for researchers in stochastic analysis and professionals interested in stochastic methods in finance. Contributors: Y. Asai, J.-P. Aubin, C. Becker, M. Benaïm, H. Bessaih, S. Biagini, S. Bonaccorsi, N. Bouleau, N. Champagnat, G. Da Prato, R. Ferrière, F. Flandoli, P. Guasoni, V.B. Hallulli, D. Khoshnevisan, T. Komorowski, R. Léandre, P. Lescot, H. Lisei, J.A. López-Mimbela, V. Mandrekar, S. Méléard, A. Millet, H. Nagai, A.D. Neate, V. Orlovius, M. Pratelli, N. Privault, O. Raimond, M. Röckner, B. Rüdiger, W.J. Runggaldier, P. Saint-Pierre, M. Sanz-Solé, M. Scheutzow, A. Soós, W. Stannat, A. Truman, T. Vargiolu, A.E.P. Villa, A.B. Vizcarra, F.G. Viens, J.-C. Zambrini, B. Zegarlinski.