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...
Συγγραφή απο Οργανισμό/Αρχή: | |
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Άλλοι συγγραφείς: | , , , |
Μορφή: | Ηλεκτρονική πηγή Ηλ. βιβλίο |
Γλώσσα: | English |
Έκδοση: |
Berlin, Heidelberg :
Springer Berlin Heidelberg,
2007.
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Σειρά: | Lecture Notes in Mathematics,
1899 |
Θέματα: | |
Διαθέσιμο Online: | Full Text via HEAL-Link |
Πίνακας περιεχομένων:
- 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.