Stochast­ic pro­cesses un­der con­straints

Die Konferenz "Stochastic processes under constraints" fand vom 18 - 21 Juli 2016 an der Universität Augsburg statt.

Organizers: Martin Kolb und Vitali Wachtel

Stochastic processes under constraints is a expanding topic in the theory of stochastic processes, which is related to the questions of how stochastic processes can be constructed to satisfy certain given a-priori constraints on paths. Typical problems are: tail behaviour of first-passage times and conditioning on events having very small or even zero probability. Conditioned processes arise naturally in many probabilistic models. Examples include polymer and interface models in statistical mechanics, branching processes, ruin probabilities and pricing of barrier options in financial mathematics.

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