Stochastic processes, finance and control : a festschrift in honor of Robert J. Elliott

This book consists of a series of new, peer-reviewed papers in stochastic processes, analysis, filtering and control, with particular emphasis on mathematical finance, actuarial science and engineering. Paper contributors include colleagues, collaborators and former students of Robert Elliott, many of whom are world-leading experts and have made fundamental and significant contributions to these areas. This book provides new important insights and results by eminent researchers in the considered areas, which will be of interest to researchers and practitioners. The topics considered will be diverse in applications, and will provide contemporary approaches to the problems considered. The areas considered are rapidly evolving. This volume will contribute to their development, and present the current state-of-the-art stochastic processes, analysis, filtering and control.Stochastic Analysis -- 1.On the connection between discrete and continuous Wick calculus with an application to the fractional Black-Scholes model / P. Parczewski -- 2.Malliavin differentiability of a class of Feller-diffusions with relevance in Finance / T.K. Siu -- 3.A stochastic integral for adapted and instantly independent stochastic processes / B. Szozda -- 4.Independence of some multiple Poisson stochastic integrals with variable-sign kernels / N. Privault -- Differential and Stochastic Games -- 5.Strategies for differential games / D. Hernandez-Hernandez -- 6.BSDE approach to non-zero-sum stochastic differential games of control and stopping / Q. Li -- Mathematical Finance -- 7.On optimal dividend strategies in insurance with a random time horizon / S. Thonhauser -- 8.Counterparty risk and the impact of collateralization in CDS contracts / I. Iyigunler -- 9.A modern view on Merton's jump-diffusion model / C. Chiarella -- 10.Hedging portfolio loss derivatives with CDS's / M. Jeanblanc -- 11.New analytic approximations for pricing spread options / M.W. Korolkiewicz -- 12.On the Polynomial-Normal model and option pricing / A. Melnikov -- 13.A functional transformation approach to interest rate modelling / Q. Zhang -- 14.S&P 500 index option surface drivers and their risk neutral and real world quadratic covariations / D.B. Madan -- 15.A dynamic portfolio approach to asset markets and monetary policy / W. Semmler -- 16.Mean-variance portfolio selection under regime-switching diffusion asset models: A two-time-scale limit / Y. Talafha -- Filtering and Control -- 17.Existence and uniqueness of solutions for a partially observed stochastic control problem / S.P. Sethi -- 18.Continuous control of piecewise deterministic Markov processes with long run average cost / F. Dufour -- 19.Stochastic linear-quadratic control revisited / T.E. Duncan -- 20.Optimization of stochastic uncertain systems: Entropy rate functional, minimax games and robustness / N.U. Ahmed -- 21.Gradient based policy optimization of constrained Markov decision processes / F.J. Vazquez Abad -- 22.Parameter estimation of a regime-switching model using an inverse Stieltjes moment approach / R.S. Mamon -- 23.An optimal inventory-price coordination policy / Q. Zhang.588 page(s