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Unlike other texts available in the field, this book is written to be accessible to both mathematicians and practitioners Rather than provide full pro...Lees meer
This monograph contains: - ten papers written by the author, and co-authors, between December 1988 and October 1998 about certain exponential function...Lees meer
Derived from extensive teaching experience in Paris, this second edition now includes over 100 exercises in probability. New exercises have been added...Lees meer
Stochastic calculus and excursion theory are very efficient tools for obtaining either exact or asymptotic results regarding Brownian motion and relat...Lees meer
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, ...Lees meer
From the reviews: "This is a magnificent book! Its purpose is to describe in considerable detail a variety of techniques used by probabilists in the i...Lees meer
We call peacock an integrable process which is increasing in the convex order; such a notion plays an important role in Mathematical Finance. A deep t...Lees meer
Penalising a process is to modify its distribution with a limiting procedure, thus defining a new process whose properties differ somewhat from those ...Lees meer
From the reviews: "This is a magnificent book! Its purpose is to describe in considerable detail a variety of techniques used by probabilists in the i...Lees meer
This monograph discusses the existence and regularity properties of local times associated to a continuous semimartingale, as well as excursion theory...Lees meer
El Karoui: Les aspects probabilistes du contrôle stochastique.- Pardoux, Etienne: Filtrage non linéaire et équations aux dérivées partielles stochasti...Lees meer
Le livre présente un thème important, qui se développe actuellement de façon intense, de l'analyse et la théorie stochastique contemporaines : les opé...Lees meer
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, cov...Lees meer
We call peacock an integrable process which is increasing in the convex order; such a notion plays an important role in Mathematical Finance. A deep t...Lees meer
Unlike other texts available in the field, this book is written to be accessible to both mathematicians and practitioners Rather than provide full pro...Lees meer
Un ouvrage sur la théorie des temps locaux et sur celle des excursions de K. Ito qui simplifie les calculs sur le mouvement brownien et les processus ...Lees meer
The following notes represent approximately the second half of the lectures I gave in the Nachdiplomvorlesung, in ETH, Zurich, between October 1991 an...Lees meer