Séminaire de Probabilités XL

ISBN-13: 9783540711889 / Angielski / Miękka / 2007 / 481 str.

Alain Rouault

Opis

Two noteworthy features of the 40th volume of Seminaire de Probabilites are L. Coutin s advanced course on calculus driven by fractional Brownian motion, and a series of seven interrelated works on local time-space calculus. Other topics from stochastic processes and stochastic finance include three contributions by A.S. Cherny on general approaches to arbitrage pricing.

Spis treści

Preface.- Specialized Course. Laure Coutin: An introduction to (stochastic) calculus with respect to fractional Brownian motion.- Local Time-Space Calculus. G. Peskir: A change-of-variable formula with local time on surfaces.- A. E. Kyprianou, B.A. Surya: A note on a change of variable formula with local time-space for Lévy processes of bounded variation.- J. Najnudel: Integration with respect to local time and selfintersection of local time of a one-dimensional Brownian motion.- D. Elworthy, A. Truman, H. Zhao: Generalized Itô formulae and space-time Lebesgue-Stieltjes integrals of local time.- N. Eisenbaum: Local time-space calculus for reversible semimartingales.- F. Russo, P. Vallois: Elements of stochastic calculus via regularisation.- H. Pham: On the smooth-fit property for one-dimensional optimal switching problem.- Other contributions. I. Crimaldi, G. Letta, L. Pratelli: A strong form of stable convergence.- P. J. Catuogno, P. R. C. Ruffino: Product of harmonic maps is harmonic: a stochastic approach.- M. Ledoux: More Hypercontractive Bounds for Deformed Orthogonal Polynomial Ensembles.- E. Cépa, D. Lépingle: No multiple collisions for mutually repelling Brownian particles.- L. Alili, P. Patie: On the joint law of the L1 and L2 norms of a 3-dimensional Bessel bridge.- P. Salminen, M. Yor: Tanaka formula for symmetric Lévy processes.- M. Pistorius: An excursion theoretical approach to some boundary crossing problems and the Skorokhod embedding for reflected Lévy processes.- J. Oblój: The maximality principle revisited: on certain optimal stopping problems.- N. Enriquez: Correlated processes and the composition of generators.- L. Serlet: Representation of the martingales for the Brownian snake.- E. Gobet, S.Menozzi: Discretesampling of functionals of Itô processes.- O. Chybriakov: Itô’s integrated formula for strict local martingales with jumps.- S. Ankirchner, S. Dereich, P. Imkeller: Enlargement of filtrations and continuous Girsanov-type embeddings.- M. De Donno, M. Pratelli: On a lemma by Ansel and Stricker.- A.S. Cherny: General arbitrage pricing model: I.Probability approach.- II.Transaction costs.- III.Possibility approach.

Blurb

Two noteworthy features of the 40th volume of the Séminaire de Probabilités are L. Coutin’s advanced course on calculus driven by fractional Brownian motion, and a series of seven interrelated works on local time-space calculus. Other topics from stochastic processes and stochastic finance include three contributions by A.S. Cherny on general approaches to arbitrage pricing.