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 in...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor Corporativo: SpringerLink (Online service)
Otros Autores: Donati-Martin, Catherine (Editor ), Émery, Michel (Editor ), Rouault, Alain (Editor ), Stricker, Christophe (Editor )
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2007.
Edición:1st ed. 2007.
Colección:Séminaire de Probabilités, 1899
Temas:
Probabilities.
Game theory.
Probability Theory.
Game Theory.
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • 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.

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