Séminaire de Probabilités XL
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 t...
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| Övriga upphovsmän: | , , |
| Materialtyp: | Livre numérique |
| Språk: | Anglais |
| Publicerad: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
[20..].
Cham : Springer Nature |
| Upplaga: | 1st ed. 2007. |
| Serie: | Séminaire de Probabilités
1899 |
| Ämnen: | |
| Länkar: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Anmärkning: |
L'impression du document génère 475 p. Numérotation dans la collection principale : 1899 ; ISSN de la collection principale : 1617-9692 Autre contributeur : Christophe Stricker (ed.) Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Séminaire de Probabilités XL, Catherine Donati-Martin, Michel Émery, Alain Rouault, [et al.], (Eds), 2007, Berlin, Springer-Verlag, 1 vol. (XI-481 p.), Lecture notes in mathematics, 978-3-540-71188-9 |
Innehållsförteckning:
- Specialized Course An Introduction to (Stochastic) Calculus with Respect to Fractional Brownian Motion Local Time-Space Calculus A Change-of-Variable Formula with Local Time on Surfaces A Note on a Change of Variable Formula with Local Time-Space for Lévy Processes of Bounded Variation Integration with Respect to Self-Intersection Local Time of a One-Dimensional Brownian Motion Generalized It? Formulae and Space-Time Lebesgue Stieltjes Integrals of Local Times Local Time-Space Calculus for Reversible Semimartingales Elements of Stochastic Calculus via Regularization On the Smooth-Fit Property for One-Dimensional Optimal Switching Problem Other Contributions A Strong Form of Stable Convergence Product of Harmonic Maps is Harmonic: A Stochastic Approach More Hypercontractive Bounds for Deformed Orthogonal Polynomial Ensembles No Multiple Collisions for Mutually Repelling Brownian Particles On the Joint Law of the L1 and L2 Norms of a 3-Dimensional Bessel Bridge Tanaka Formula for Symmetric Lévy Processes An Excursion-Theoretical Approach to Some Boundary Crossing Problems and the Skorokhod Embedding for Reflected Lévy Processes The Maximality Principle Revisited: On Certain Optimal Stopping Problems Correlated Processes and the Composition of Generators Representation of the Martingales for the Brownian Snake Discrete Sampling of Functionals of Ito Processes Ito's Integrated Formula for Strict Local Martingales with Jumps Enlargement of Filtrations and Continuous Girsanov-Type Embeddings On a Lemma by Ansel and Stricker General Arbitrage Pricing Model: I Probability Approach General Arbitrage Pricing Model: II Transaction Costs General Arbitrage Pricing Model: III Possibility Approach