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 contents of the volume represent an important fraction of research undertaken by French probabilists and their collaborators from abroad during the academic year 1992-1993.
In this volume of original research papers, the main topics discussed relate to the asymptotic windings of planar Brownian motion, structure equations...
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 Seminaire de Probabilites develops the following themes: - chaos representation for some new kinds of martingales, - quantum probability, - branching aspects on Brownian excursions, - Brownian motion on a set of rays.
Besides a number of papers on classical areas of research in probability such as martingale theory, Malliavin calculus and 2-parameter processes, this...
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 of examples of such penalisations in the Brownian and Bessel processes framework. The Martingale theory plays a crucial role. A general principle for penalisation emerges from these examples. In particular, it is shown in the Brownian framework that a positive sigma-finite measure takes a large class of penalisations into account.
Penalising a process is to modify its distribution with a limiting procedure, thus defining a new process whose properties differ somewhat from tho...
The 39th volume of Seminaire de Probabilites is a tribute to the memory of Paul Andre Meyer. His life and achievements are recalled in this book, and tributes are paid by his friends and colleagues. This volume also contains mathematical contributions to classical and quantum stochastic calculus, the theory of processes, martingales and their applications to mathematical finance and Brownian motion. These contributions provide an overview on the current trends of stochastic calculus.
The 39th volume of Seminaire de Probabilites is a tribute to the memory of Paul Andre Meyer. His life and achievements are recalled in this book, a...
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 motion. The great strength of Revuz and Yor is the enormous variety of calculations carried out both in the main text and also (by implication) in the exercises. ... This is THE book for a capable graduate student starting out on research in probability: the effect of working through it is as if the authors are sitting beside one, enthusiastically explaining the theory, presenting further developments...
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 i...
El Karoui: Les aspects probabilistes du controle stochastique.- Pardoux, Etienne: Filtrage non lineaire et equations aux derivees partielles stochastiques associees.- Yor, M.: Sur la theorie du filtrage.
El Karoui: Les aspects probabilistes du controle stochastique.- Pardoux, Etienne: Filtrage non lineaire et equations aux derivees partielles stochasti...
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 relevant mathematical tools in a style that is mathematically rigorous and yet accessible to practitioners and mathematicians alike. It interlaces financial concepts such as arbitrage opportunities, admissible strategies, contingent claims, option pricing and default risk with the mathematical theory of Brownian motion, diffusion processes, and Levy processes. The first half of the book is...
Mathematical finance has grown into a huge area of research which requires a large number of sophisticated mathematical tools. This book simultaneo...
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 excursion processes may be translated in terms of the realizations of a Wiener process under certain conditions. With this aim in mind, the monograph presents applications to topics which are not usually treated with the same tools, e.g.: arc sine law, laws of functionals of Brownian motion, and the Feynman-Kac formula.
This monograph discusses the existence and regularity properties of local times associated to a continuous semimartingale, as well as excursion the...
This book contains all publications of Wolfgang Doeblin (1915-1940). These are accompanied by presentations and commentaries by specialists in the various specific areas of his achievements. Additionally, this book reproduces the pli cachete on-l equation de Kolmogoroff- with commentaries.
The modern theory of probability developed between the two World Wars thanks to the very remarkable work of Kolmogorov, Khinchin, S.N. Bernstein, Romanovsky, von Mises, Hostinsky, Onicescu, Frechet, Levy and others, among whom one name shines particularly brightly, that of the young...
This book contains all publications of Wolfgang Doeblin (1915-1940). These are accompanied by presentations and commentaries by specialists in the ...