Séminaire de Probabilités XL

• Corporate Author: SpringerLink (Online service)
• Other Authors: Donati-Martin, Catherine (Editor), Émery, Michel (Editor), Rouault, Alain (Editor), Stricker, Christophe (Editor)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 2007.
• Series: Lecture Notes in Mathematics, 1899
• Subjects: Mathematics.; Game theory.; Probabilities.; Probability Theory and Stochastic Processes.; Game Theory, Economics, Social and Behav. Sciences.

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...

Table of Contents:

• 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.