Autore: Marc Yor

Considering the stupendous gain in importance, in the banking and insurance industries since the early 1990’s, of mathematical methodology, especially probabilistic methodology, it was a very natural …

Penalising a process is to modify its distribution with a limiting procedure, thus defining a new process whose properties differ somewhat from those of the original one. We are presenting a number o …

Discovered in the seventies, Black-Scholes formula continues to play a central role in Mathematical Finance. We recall this formula. Let (B , t? 0; F , t? 0, P) – t t note a standard Brownian motion …

We call peacock an integrable process which is increasing in the convex order; such a notion plays an important role in Mathematical Finance. A deep theorem due to Kellerer states that a process is a …

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Mathematical finance has grown into a huge area of research which requires a large number of sophisticated mathematical tools. This book simultaneously introduces the financial methodology and the re …

The following notes represent approximately the second half of the lectures I gave in the Nachdiplomvorlesung, in ETH, Zurich, between October 1991 and February 1992, together with the contents of si …

This monograph discusses the existence and regularity properties of local times associated to a continuous semimartingale, as well as excursion theory for Brownian paths. Realizations of Brownian exc …

Besides a series of six articles on Levy processes, Volume 38 of the Seminaire de Probabilites contains contributions whose topics range from analysis of semi-groups to free probability, via martinga …

In November 2004, M. Yor and R. Mansuy jointly gave six lectures at Columbia University, New York. These notes follow the contents of that course, covering expansion of filtration formulae; BDG inequ …

The 39th volume of Seminaire de Probabilites is a tribute to the memory of Paul Andre Meyer. His life and achievements are recalled; homages are rendered by his friends and colleagues. This volume al …

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All the papers included in this volume are original research papers. They represent an important part of the work of French probabilists and colleagues with whom they are in close contact throughout …

Twenty-five articles have been selected from the first 14 volumes of the ‘Séminaire de Probabilités’, all out of print, for their historical and/or mathematical interest. Among the many articles devo …

Besides a number of papers on classical areas of research in probability such as martingale theory, Malliavin calculus and 2-parameter processes, this new volume of the Séminaire de Probabilités deve …

The different papers contained in this volume are all research papers. The main directions of research which are being developed are: quantum probability, semimartingales and stochastic calculus. …

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This volume represents a part of the main result obtained bya group of French probabilists, together with thecontributions of a number of colleagues, mainly from the USAand Japan. All the papers pres …

In this volume of original research papers, the main topics discussed relate to the asymptotic windings of planar Brownian motion, structure equations, closure properties of stochastic integrals. The …

Stochastic calculus and excursion theory are very efficient tools to obtain either exact or asymptotic results about Brownian motion and related processes. The emphasis of this book is on special cla …

The 31 papers collected here present original research results obtained in 1995-96, on Brownian motion and, more generally, diffusion processes, martingales, Wiener spaces, polymer measures. …

The volume consists entirely of research papers, principally in stochastic calculus, martingales, and Brownian motion, and gathers an important part of the works done in the main probability groups i …

All the papers in the volume are original research papers, discussing fundamental properties of stochastic processes. The topics under study (martingales, filtrations, path properties, etc.) represen …

This monograph contains: – ten papers written by the author, and co-authors, between December 1988 and October 1998 about certain exponential functionals of Brownian motion and related processes, whi …

From the reviews: "This is a magnificent book! Its purpose is to describe in considerable detail a variety of techniques used by probabilists in the investigation of problems concerning Brownian …

This book focuses on the probabilistic theory of Brownian motion. This is a good topic to center a discussion around because Brownian motion is in the intersec- tioll of many fundamental classes of p …

This volume comprises selected papers presented at the 12th Winter School on Stochastic Processes and their Applications, which was held in Siegmundsburg, Germany, in March 2000. The contents include …

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Le livre présente un thème important, qui se développe actuellement de façon intense, de l”analyse et la théorie stochastique contemporaines : les opérateurs, les semi-groupes et les processus stoch …