LIBROS DEL AUTOR: marc yor

12 resultados para LIBROS DEL AUTOR: marc yor

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  • Local Times and Excursion Theory for Brownian Motion
    Ju-Yi Yen / Marc Yor
    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 wh...
    Disponible

    62,02 €

  • Exercises in Probability
    L. Chaumont / LChaumont / Lo C. Chaumont / Lo CChaumont / Marc Yor
    ...
    Disponible

    91,45 €

  • Mathematical Methods for Financial Markets
    Marc Chesney / Marc Yor / Monique Jeanblanc
    Continuous Path Processes.- Continuous-Path Random Processes: Mathematical Prerequisites.- Basic Concepts and Examples in Finance.- Hitting Times: A Mix of Mathematics and Finance.- Complements on Brownian Motion.- Complements on Continuous Path Processes.- A Special Family of Diffusions: Bessel Processes.- Jump Processes.- Default Risk: An Enlargement of Filtration Approach.- ...
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    119,39 €

  • Stochastic Filtering at Saint-Flour
    Etienne Pardoux / Marc Yor / Nicole El Karoui
    El Karoui: Les aspects probabilistes du contrôle stochastique.- Pardoux, Etienne: Filtrage non linéaire et équations aux dérivées partielles stochastiques associées.- Yor, M.: Sur la théorie du filtrage. ...
    Disponible

    60,03 €

  • Continuous Martingales and Brownian Motion
    Daniel Revuz / Marc Yor
    '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....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,...
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    169,25 €

  • Option Prices as Probabilities
    Bernard Roynette / Christophe Profeta / Marc Yor
    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 with B = 0, (F ,t? 0) being its natural ?ltra- 0 t t tion. Let E := exp B? ,t? 0 denote the exponential martingale associated t t 2 to (B ,t? 0). This martingale, also called geometri...
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    66,28 €

  • Mathematical Methods for Financial Markets
    Marc Chesney / Marc Yor / Monique Jeanblanc
    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...
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    167,23 €

  • Penalising Brownian Paths
    Bernard Roynette / Marc Yor
    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 penal...
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    66,26 €

  • Aspects of Brownian Motion
    Marc Yor / Roger Mansuy
    Stochastic calculus and excursion theory are very efficient tools for obtaining either exact or asymptotic results about Brownian motion and related processes. This book focuses on special classes of Brownian functionals, including Gaussian subspaces of the Gaussian space of Brownian motion; Brownian quadratic funtionals; Brownian local times; Exponen...
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    66,64 €

  • Random Times and Enlargements of Filtrations in a Brownian Setting
    Marc Yor / Roger Mansuy
    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 inequalities up to any random time; martingales that vanish on the zero set of Brownian motion; the Azéma-Emery martingales and chaos representation; the filtr...
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    60,62 €

  • Exponential Functionals of Brownian Motion and Related Processes
    Marc Yor
    This volume collects papers about the laws of geometric Brownian motions and their time-integrals, written by the author and coauthors between 1988 and 1998. Throughout the volume, connections with more recent studies involving exponential functionals of Lévy processes are indicated. Some papers originally published in French are made available in Eng...
    Disponible

    66,64 €

  • Some Aspects of Brownian Motion
    Marc Yor
    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 six additional lectures I gave in ETH, in November and December 1993. Part I, the elder brother of the present book [Part II], aimed at the computation, as ...
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    60,69 €