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1、FromStochasticCalculustoMathematicalFinanceYu.KabanovR.LipsterJ.StoyanovFromStochasticCalculustoMathematicalFinanceTheShiryaevFestschriftWith15FiguresABCYuriKabanovRobertLiptserUniversitédeFranche-ComtéDepartmentofElectricalEngineering-Systems16,routedeGr
2、ayTelAvivUniversity25030BesançonCedexP.O.B.39040,RamatAvivFranceTelAviv69978e-mail:youri.kabanov@math.univ-fcomte.frIsraele-mail:liptser@eng.tau.ac.ilJordanStoyanovSchoolofMathematics&StatisticsUniversityofNewcastleNewcastleuponTyneNE17RUUnitedKingdome-ma
3、il:jordan.stoyanov@newcastle.ac.ukLibraryofCongressControlNumber:2005938923MathematicsSubjectClassification(2000):60-XX,93-XXISBN-103-540-30782-6SpringerBerlinHeidelbergNewYorkISBN-13978-3-540-30782-2SpringerBerlinHeidelbergNewYorkThisworkissubjecttocopyri
4、ght.Allrightsarereserved,whetherthewholeorpartofthematerialisconcerned,specificallytherightsoftranslation,reprinting,reuseofillustrations,recitation,broadcasting,reproductiononmicrofilmorinanyotherway,andstorageindatabanks.Duplicationofthispublicationorpart
5、sthereofispermittedonlyundertheprovisionsoftheGermanCopyrightLawofSeptember9,1965,initscurrentversion,andpermissionforusemustalwaysbeobtainedfromSpringer.ViolationsareliableforprosecutionundertheGermanCopyrightLaw.SpringerisapartofSpringerScience+Business
6、Mediaspringer.comcSpringer-VerlagBerlinHeidelberg2006PrintedinGermanyTheuseofgeneraldescriptivenames,registerednames,trademarks,etc.inthispublicationdoesnotimply,evenintheabsenceofaspecificstatement,thatsuchnamesareexemptfromtherelevantprotectivelawsandre
7、gulationsandthereforefreeforgeneraluse.TypesettingbytheAuthorsandSPIPublisherServicesusingaSpringerLATEXmacropackageCoverart:MargaritaKabanovaCoverdesign:design&productionGmbH,HeidelbergPrintedonacid-freepaperSPIN:1159122141/3100/SPI543210ToAlbertShiryaev
8、withlove,admirationandrespectPrefaceThisvolumecontainsacollectionofarticlesdedicatedtoAlbertShiryaevonhis70thbirthday.Themajorityofcontributionsarewrittenbyhisformerstudents,co-authors,colleaguesandadmirersstronglyi
