Lecture Notes in Mathematics

2 primary works

Probabilistic Models for Nonlinear Partial Differential Equations

by Carl Graham, Thomas G. Kurtz, Sylvie Meleard, Philip Protter, Mario Pulvirenti, and Denis Talay

Published 12 July 1996

The lecture courses of the CIME Summer School on Probabilistic Models for Nonlinear PDE's and their Numerical Applications (April 1995) had a three-fold emphasis: first, on the weak convergence of stochastic integrals; second, on the probabilistic interpretation and the particle approximation of equations coming from Physics (conservation laws, Boltzmann-like and Navier-Stokes equations); third, on the modelling of networks by interacting particle systems. This book, collecting the notes of these courses, will be useful to probabilists working on stochastic particle methods and on the approximation of SPDEs, in particular, to PhD students and young researchers.

Paris-Princeton Lectures on Mathematical Finance 2013

by Fred Espen Benth, Dan Crisan, Paolo Guasoni, Konstantinos Manolarakis, Johannes Muhle-Karbe, Colm Nee, and Philip Protter

Published 24 July 2013

The current volume presents four chapters touching on some of the most important and modern areas of research in Mathematical Finance: asset price bubbles (by Philip Protter); energy markets (by Fred Espen Benth); investment under transaction costs (by Paolo Guasoni and Johannes Muhle-Karbe); and numerical methods for solving stochastic equations (by Dan Crisan, K. Manolarakis and C. Nee).The Paris-Princeton Lecture Notes on Mathematical Finance, of which this is the fifth volume, publish cutting-edge research in self-contained, expository articles from renowned specialists. The aim is to produce a series of articles that can serve as an introductory reference source for research in the field.