last update...09/07/2005

by John Nikas

Dimitsana Summer School

Stochastic Differential Geometry

and applications in finance

10-17 July 2005, Thermo, Aitoloakarnania, Greece

Sponsored by the National Bank of Greece

Under the auspices of University of Patras

Bibliography

• Laurent Schwartz, Semimartingales and their stochastic calculus on manifolds. Presses de l'Universite de Montreal (1984).

• Laurent Schwartz, Geometrie differentielle du 2eme ordre, semi-martingales et equations diffé rentielles stochastiques sur une variete differentielle. In: Seminaire de probabilites XVI (Supplementary volume), Lect. Notes Math. 921, 1-150 (1982).

• P.A. Meyer, Geometrie stochastique sans larmes. In: Seminaire de probabilites XV, Lect. Notes Math. 850, 44-102(1981).

• M. Emery, Stochastic calculus in manifolds. With an appendix by P.A. Meyer. Universitext, Springer (1989).

• Riemannian Geometry, By M. Do Carmo.

• Stochastic Differential Equations on Noncompact Manifolds.
   Xue-Mei Li. 1992 on <www.xuemei.org/bib.html>.

• P.A. Meyer, Geometrie stochastique sans larmes. In: Seminaire de probabilites XV, Lect. Notes Math. 850, 44-102(1981).

• K. D. Elworthy. Geometric aspects of diffusions on manifolds. LNIM1362,   pages 276–425.  1988.

• Bjork T.: On the Geometry of Interest Rate Models, Springer LNM 1847,  p.133-215, 2004

• Da Prato G.: Kolmogorov Equations for Stochastic PDEs, CRM Barcelon, Birkhauser, 2004

• Filipovic D.: Consistency Problems for Heath-Jarrow-Morton Interest Rate Models, Springer LNM 1760, 2001

• Teichmann J.: Stochastic Evolution Equations in Infinite Dimension with ppliations to Term Structure Problems, Unpublished Manuscript, TU Vienna, 2005