Séminaire de Probabilités XL

519.2

Séminaire de Probabilités XL edited by Catherine Donati-Martin, Michel Émery, Alain Rouault, Christophe Stricker. -
XI, 489 p. online resource. - (Séminaire de Probabilités, 1899) Content notes : 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. 9783540711896 * Distribution (Probability theory. Mathematics. Probability Theory and Stochastic Processes. Game Theory, Economics, Social and Behav. Sciences. * Donati-Martin, Catherine., edt, http://id.loc.gov/vocabulary/relators/edtÉmery, Michel., edt, http://id.loc.gov/vocabulary/relators/edtRouault, Alain., edt, http://id.loc.gov/vocabulary/relators/edtStricker, Christophe., edt, http://id.loc.gov/vocabulary/relators/edt * Title * Series