Del 1899 - Lecture Notes in Mathematics

Séminaire de Probabilités XL

Häftad, Engelska, 2007

AvCatherine Donati-Martin,Michel Émery,Alain Rouault,Christophe Stricker

699 kr

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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.

Produktinformation

Utgivningsdatum2007-07-16
Mått155 x 235 x 28 mm
Vikt756 g
FormatHäftad
SpråkEngelska
SerieLecture Notes in Mathematics
Antal sidor489
Upplaga2007
FörlagSpringer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN9783540711889

Tillhör följande kategorier

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.